Prepare a medium-hot grill fire or heat gas grill to medium.
Toss the squash and bell peppers with olive oil in a medium bowl; season to taste with salt and pepper. Place veggies on a grill pan, grid, or in a basket.
Grill the veggies and the sausage, turning frequently until the squash is just tender and the sausage is cooked through, 8 to 12 minutes. Cut the sausage into 1-inch chunks. Toss the veggies and sausage with the herbs, olives, and capers. Season with lemon juice, salt, and pepper.
Notes
Alternatively, you can leave the peppers in large planks, grilling them directly on the grill (if you don't have room on your grill pan.) After grilling, cut peppers into 1 inch chunks.You can also add or substitute other vegetables like sweet onion, eggplant or whatever you prefer.