Preheat oven to 450°.
Cut onions into eighths; separate layers. Cut yellow squash and zucchini in half lengthwise; cut each half into 2-inch pieces.
Place onion, squash, zucchini, bell pepper, olive oil, salt, and black pepper in a large bowl; toss well. Arrange vegetable mixture on a large baking sheet; coat vegetables with cooking spray. Bake vegetables at 450°, stirring twice, 12 to 14 minutes or until tender.
Bring water to a boil in a saucepan over high heat. Stir in grits, and remove from heat. Stir in cheese and remaining ingredients. Cover and keep warm.
Spoon grits onto plates, and top with vegetables.