Place eggplant on a double layer of paper towels on a work surface; lightly salt eggplant and let stand 15 minutes. Preheat grill to medium-high. In a small bowl, combine yogurt, garlic, cumin, lemon zest and juice and 1/4 tsp. salt. Taste and adjust seasoning, if necessary. Cover and refrigerate yogurt mixture.
Brush both sides of eggplant slices with olive oil, lightly oil grates and place on grill. Cook until eggplant is tender, about 10 minutes, turning once or twice. Remove to a platter, sprinkle with pepper and serve with sauce.