Soak 12 (10-in.) bamboo skewers in water about 30 minutes. Heat grill to medium (about 350°).
Combine half of the rub with lamb in a bowl and shape into 12 balls. Brush cheese and squash with oil, then coat with remaining rub. Thread meatballs, cheese, and squash onto 6 double sets of skewers, holding skewers slightly apart and alternating ingredients.
Grill, turning once, until meat is medium-rare, 7 to 8 minutes total.