Cut 2 (1/2-inch-thick) slices lengthwise from opposite sides of each eggplant; reserve for another use. Cut each eggplant lengthwise into 4 (3/4-inch-thick) slices; set aside.
Cut red peppers in half lengthwise; remove and discard seeds and membranes. Flatten pepper halves with palm of hand; set aside. Cut zucchini lengthwise into 1/4-inch-thick slices.
Coat grill rack with cooking spray; place on grill over medium-hot coals (350° to 400°). Brush eggplant, red pepper, and zucchini with about one-third of dressing. Place red pepper and zucchini on rack; grill, covered, 6 minutes. Turn vegetables, and baste with half of remaining dressing. Add eggplant to grill rack; grill, covered, 10 minutes, turning once, and basting often with remaining dressing.
Arrange pepper halves and zucchini slices evenly over 4 eggplant slices; sprinkle with pepperoncini pepper. Place 1 slice of cheese over each serving. Top with remaining eggplant slices. Grill 2 additional minutes or until cheese melts. Serve immediately.