In a bowl, mix the mayonnaise, garlic, and lemon juice. Set aside in the refrigerator.
Preheat the barbecue grill for high heat.
Brush vegetables with olive oil on each side. Brush grate with oil. Place capsicum and zucchini closest to the middle of the grill and set onion and squash slices around them. Cook for about 3 minutes, turn and cook for another 3 minutes. The capsicum may take a bit longer. Remove from bbq and set aside.
Spread some of the mayonnaise mixture on the cut sides of the bread and sprinkle each one with feta cheese.
Place on the grill cheese side up and cover with lid for 2 to 3 minutes. This will warm the bread and slightly melt the cheese. Watch carefully so the bottoms don't burn.
Remove from grill and layer with the vegetables. Enjoy!