Preheat an outdoor grill for medium-high heat and lightly oil the grate.
Lay 2 large pieces of heavy duty aluminum foil onto a flat surface in a criss-cross shape. Pile zucchinis, yellow squash, onion, orange, and lemon in the middle of the foil. Scatter butter pieces over the mixture; season with lemon pepper, salt, and black pepper. Wrap aluminum foil around the mixture and seal along the edges making a packet.
Cook on the preheated grill until very tender, 30 to 45 minutes.