Rinse, stem, and seed bell pepper; cut into 1 1/2-inch pieces. Rinse zucchini and trim and discard ends; cut zucchini crosswise into 3/4-inch-thick rounds. Rinse eggplants and trim and discard ends; cut eggplants crosswise into 3/4-inch-thick rounds. Rinse and stem tomatoes. Thread vegetables onto thin metal skewers at least 14 inches long, with a single kind of vegetable on each skewer (for zucchini and eggplants, run skewers crosswise from edge to edge through rounds). Brush vegetables with remaining spiced oil.
When lamb has cooked 10 minutes, place bell pepper, zucchini, and eggplants on grill directly over heat; cook, turning once, until browned and tender when pierced, about 15 minutes. Add tomatoes 20 minutes after starting meat and cook, turning once, until barely tender when pierced, about 5 minutes. Push vegetables from skewers and arrange around lamb loin roast. Season to taste with salt and pepper.