Clean and wash the zucchini and cut them lengthwise into very thin slices with a peeler. Season with salt and pepper. Cut sheep's cheese into finger-thick slices and wrap each with 1 slice of courgette, if necessary stick them firmly with wooden skewers. Cut tomatoes into strips. Cut olives into fine rings. Form 6 small portion bowls from aluminium foil.
Put sheep's cheese parcels inside. Sprinkle with tomatoes and olive rings. Sprinkle with olive oil. Cover with aluminium foil and bake on the hot grill for 15-20 minutes. In the meantime wash the thyme, dab dry and tear apart a little. Take the packs off the grill, sprinkle with thyme and serve immediately