Prepare the grill for direct grilling over a hot fire. A charcoal fire is recommended.
Melt the butter in a saucepan over medium heat. Crush the garlic into the butter, then stir in the lemon zest and cayenne. Remove from the heat.
Cut off and discard the stem ends of the zucchini. Slice into thin ribbons about 2mm thick. We use a Kyocera ceramic mandoline to make this task easy. I suggest proceeding with one squash at a time, working all the way through to coiling it on the skewers, before slicing the next one. It is great to have a pair of helping hands working with you.
Lay the zucchini ribbons flat on a baking sheet. Use a silicon brush to lightly brush on a little of the butter mixture (top sides of the ribbons only. Season with salt and pepper, then sprinkle on some parsley.
Working with one ribbon at a time, gently coil the ribbon into a loose ‘W’ shape and thread onto a pair of skewers. (We use pairs of skewers to lock the food orientation in place for grilling, as the zucchini is likely to spin on a single skewer.) Keep all of the ribbons on the skewer aligned so that the dark green edges are always on the top and bottom.
Repeat this process for the remaining zucchini to create 8 skewers.
Place the assembled skewers on the grill over the hot fire, with one side with the dark green edges down. Grill until browned on the edges, then turn over so the other side with the dark green edges is down. Total grilling time should be 5 to 8 minutes to get the edges browned, and the zucchinis heated through without cooking past al dente.
Remove from the grill and serve immediately.