Broil or grill the peppers (can do 2-3 days ahead): Preheat the grill to high (or, your toaster oven to Broil, lining the baking tray with foil). Grill or broil the peppers, turning occasionally with tongs, until charred in spots, 25–30 minutes. Transfer the peppers to a large bowl and cover with plastic wrap. Let steam for 10 minutes. Uncover and let cool. With a paring knife, remove the skin, stems, and seeds. Slice lengthwise into about 24 long, 3/4-inch wide strips.

To grill the scallops, preheat grill for direct grilling over medium-high heat. Wrap a pepper strip around each scallop to cover sides completely, overlapping the pepper ends.

Alternately thread 2-3 scallion pieces with 2 pepper-wrapped scallops on 24 (6-inch) metal or bamboo skewers, using two skewers at a time to hold the food securely and anchor the pepper wrappings on the scallops. Brush lightly on both sides with the oil and sprinkle with pepper.

Grill, turning once, until scallops are almost firm to the touch and scallions are lightly charred, 3-4 minutes per side. Sprinkle with the lemon zest and lemon juice and serve at once.