In a bowl, mix mayonnaise, minced garlic, and lemon juice. Set aside (refrigerate).
Preheat grill on high.
Brush veggies with olive oil (both sides). Place bell peppers and zucchini in the middle, onion and squash on the edges. Cook for about 3 minutes turn and cook another 3 minutes, remove from grill and set aside (peppers may need to cook longer).
Spread mayo on bread and sprinkle with feta cheese. Place on grill (cheese up). Close lid and cook for 2-3 minutes (until cheese melts).
Remove from grill and layer with veggies for a great open faced sandwich.