Heat gas or charcoal grill. On each of 4 (15-inch) metal skewers*, alternately thread shrimp, bell pepper and zucchini, leaving 1/4-inch space between each piece. In small bowl, mix cooking sauce and lemon peel.
Place skewers on grill over medium heat. Cover grill; cook 10 to 15 minutes or until shrimp are pink, turning once and brushing frequently with cooking sauce mixture.
Heat remaining cooking sauce mixture to boiling; boil 1 minute, stirring frequently. Serve skewers with remaining sauce mixture.