Preheat grill to HIGH heat. In a mixing bowl, toss the baby zucchini with the olive oil, salt, and cracked black pepper. Use tongs to transfer the zucchini to the grill. Slide the cut sides of the lemon around in the bowl to mop up the remaining oil, salt, and pepper to the best of your ability. Put the lemons -cut sides down- on the hottest part of the grill and do not move them.