Heat grill to medium-high. Thread lamb onto skewers. Brush with 1 Tbsp. oil and season with oregano, 1 tsp. salt and 1/2 tsp. pepper.
In a large bowl, toss peppers and onions with 1/2 tsp. salt, 1/4 tsp. pepper and remaining 2 Tbsp. oil. Grill lamb and vegetables, turning frequently and brushing with lemon juice, until lamb is medium-rare and vegetables are tender, 8 to 10 minutes. Serve with Mint and Scallion Relish and lemon wedges.