Grill or roast the red peppers whole until they begin to soften (if you like them skinned, keep going until you can skin them). You need them soft enough to wrap the cheese but not too soft or you won't be able to cook them again.
Open out each red pepper by making a cut down one side and trim the tops and bottoms off so you end up with a strip.
Put a slice of halloumi in the center of each strip.
Sprinkle over some lemon zest and juice, divide the chilli, oregano and olive between them, then roll the red pepper around the halloumi. It doesn't matter if the cheese sticks out at each end.
Tie the rolls with some kitchen string that you have soaked in water (or secure with a cocktail stick) and press down with the palm of your hand so they flatten slightly.
Heat the barbecue.
Barbecue the red peppers on both sides for 5 minutes or until they are starting to char and the cheese is softening and browning at the ends (keep an eye on the string as it could burn off).