In a small jar with a tight-fitting lid, add the marinade ingredients. Put the lid on and shake well to combine.
In a large bowl, gently toss mushrooms with the marinade, ensuring the mushrooms are evenly coated. Let sit at room temperature for 20 minutes while you prepare the peppers and onions.
Preheat the grill on medium-high heat.
Take 2 or 3 toothpicks and slide them through the sides of the onion slice to keep the rings together while grilling.
Brush the peppers and onion slice with the olive oil. Then place on the preheated grill.
Optional, make ahead the peppers & onions the day before and refrigerate until ready to use.
Cook the whole peppers on the grill, turning occasionally, until they are well charred. About 8-10 minutes. Remove to a bowl and cover with a lid, plate, or plastic wrap. Let sit covered for 10 minutes. Cook the onion for 6-8 minutes, turning occasionally and flipping halfway through, until just lightly charred. Remove to a plate and cover with another plate, lid, or plastic wrap. Let sit covered for 10 minutes.
Remove the skin from the peppers, then discard the stem and seeds. Slice into strips and spread out on a serving platter. Remove the tooth picks from the onion and slice into small pieces, set aside to layer with the mushrooms on the platter.
(Note: If using small mushrooms, use skewers or a grill basket to make cooking easier.)
Grill the mushrooms turning occasionally, until lightly charred, 6-8 minutes (cooking time will vary with size and type of mushrooms and temperature of the grill).
Remove from grill and add to the platter with peppers, layering the feta cheese, olives and onions as you go.
Drizzle the platter with a little olive oil, zest the lemon over the platter, then sprinkle with the dill leaves and salt & pepper to taste. Serve with lemon wedges and enjoy!
The salad is delicious warm or at room temperature. So do all the grilling before your guests arrive and just assemble the platter with the cheese when ready to serve.