1: Preheat grill to medium-high. Cut each pepper into 8 large chunks. Whisk lemon juice, garlic, oregano, mustard, hot sauce, and salt and pepper. Whisking constantly, drizzle in oil until combined. Brush half the marinade over the peppers. Toss bocconcini and tomatoes with remaining marinade.
2: Grill peppers, turning as needed, for 12 to 14 minutes, or until tender and well marked. Cool to room temperature. Thread peppers, salami, cheese, tomatoes and pickles onto 8 large skewers.