Using a vegetable peeler or a knife, slice the zucchini lengthwise and gently scoop out the insides with a spoon, leaving about a 1/4-inch border to form a sturdy boat. Place the hollowed zucchinis on a plate.
Brush the zucchini boats lightly with olive oil on all sides, then season generously with salt and pepper. This helps them develop a nice char and prevents sticking on the grill.
Preheat your grill to medium heat. Place the zucchini boats cut side down on the grill grates, cooking for about 3-4 minutes until they develop a slight char and the flesh begins to soften.
Flip the zucchini and cook for another 3-4 minutes, allowing the flesh to shrink, crisp at the edges, and release a smoky aroma. The flesh should soften and become mashable.
Remove the zucchini from the grill and let them cool slightly. Scoop out the softened flesh into a mixing bowl, leaving the shells intact.
Add crumbled feta, chopped herbs, breadcrumbs, and a squeeze of lemon juice to the bowl with the zucchini flesh. Mix well until the ingredients are evenly combined and the mixture is slightly sticky.
Stuff the mixture back into the grilled zucchini shells, pressing gently to pack the filling in evenly.
Place the stuffed zucchini boats back on the grill over medium heat for 2-3 minutes, just until the cheese begins to melt and the edges of the zucchini are slightly crispy.
Remove from the grill and drizzle with a little more lemon juice. Serve warm, garnished with extra herbs if desired.