Heat a grill to medium-high (400° to 450°). Grill peppers, covered and turning occasionally, until softened and lightly charred, 7 to 12 minutes, transferring to a medium bowl as done. Let stand until cool enough to handle.
Pull off pepper skins that come off easily (no need to remove all of them), pull off stems, and swipe out seeds with your hand, working in a strainer over a bowl to catch juices.
Finely chop peppers, then return to bowl with juices. Stir in oil, vinegar, and marjoram. Season to taste with salt and black pepper.
Make ahead: Up to 1 week, chilled airtight.