While the lentils are cooking, preheat the grill (broiler) to high. Rub the skins of the red peppers and zucchini with a little of the oil. Arrange the vegetables, skin side up, in the grill pan in a single layer. Add the sausages and cook, turning the sausages occasionally, for 10-15 minutes, until the sausages are cooked and browned on all sides and the vegetables are tender. Transfer the red peppers to a plastic bag and leave until cool enough to handle, then remove from the bag and peel off the skins.