In a large bowl, whisk together the lemon juice, zest, garlic, olive oil, oregano, thyme, salt and pepper.
Place the salmon, onions, and zucchini in with the marinade and let it sit for 20 minutes.
If using wooden skewers, soak them in water during that 20 minutes.
To make the yogurt sauce, combine yogurt, olive oil, lemon juice, garlic, dill, salt, and cayenne, if using. Cover and refrigerate until the salmon is done.
Thread the salmon, onions and zucchini onto the skewers. Season with salt and pepper.
Heat your grill to 350° F. Brush the grill grate with oil to prevent sticking.
Set the skewers on the grill, cover, and cook for 3 minutes per side, flipping with tongs halfway through cooking.
Remove the skewers from the grill and let rest for 3-5 minutes.
Serve with yogurt sauce.