1. Combine fennel seeds, orange zest and juice, and pepper. Gently stir in the feta and marinate for 1 hour at room temperature or up to 3 hours in the refrigerator. (Marinate overnight to save time.)
2. To assemble: Place 1 mint leaf on a skewer, about 3/4 inch up; add 1 olive half and 1 cucumber chunk. Place 1 cube of feta on the end. These can be made several hours in advance and stored in the refrigerator until ready to serve. Bring to room temperature before serving.