To make the harissa marinade, combine the ingredients in a food processor until smooth. Reserve. Do the same with the vegetable marinade.
Cut the lamb shoulder into 1 1/2-inch cubes. Combine with the harissa marinade in a non-reactive bowl, cover tightly and marinate in the refrigerator for 4 hours.
Peel the sweet potatoes and cut into cubes 1 1/4-inches in size. You will want 8 cubes total. Bring a pot of water to a boil. Add the sweet potato cubes and par-boil for 10 minutes. Drain immediately and cool under cold running water.
Cut the zucchini and yellow squash into 1-inch slices (full rounds). You’ll want 8 pieces from each. Note, we want the vegetables to be sized smaller than the pieces of lamb so that the lamb can rest firmly on the grill grates for even browning. If you cannot find small enough squash to do fully-round slices at the needed size, then cut the rounds into halves or quarters as needed.
Cut the bell peppers into 24 square pieces 1 1/4-inches in size, removing the ribs and seeds.
Combine the vegetables with the vegetable marinade in a non-reactive bowl. Cover tightly and marinate in the refrigerator for 2 to 4 hours.
To make the yogurt dipping sauce, stir the ingredients together in a bowl. Cover tightly and refrigerate until serving.
As grilling time approaches, fire up the grill for direct grilling over high heat.
To assemble the kebabs, start by threading a piece of lamb onto a pair of skewers. We use pairs of skewers to prevent the individual pieces of the kebab from rotating independently. Add the other ingredients, such that a finished kebab is arranged in the following order: lamb, red pepper, yellow squash, lamb, red pepper, sweet potato, lamb, red pepper, zucchini, lamb. Starting and ending each kebab with lamb helps ensure the vegetables do not fall off the ends while cooking.
Grill the assembled kebabs over direct heat, turning to brown all four sides, about 10 minutes total cooking time. The target finished lamb temperature is Medium Rare at 130°F. Remove from the grill at 125°F.
Serve with cold yogurt sauce on the side.