Preheat grill. Slice zucchini lengthwise and cut into finger-thick slices. Seed pepperoni and cut into large 3 x 3 cm cubes. Peel and slice onions. String shashlik skewers, alternating vegetable pieces.
Pluck thyme leaves. Mix olive oil with thyme, paprika powder, salt and pepper. Brush vegetable kebabs with the oil.
Place Vacherin Mont-d’Or AOP in a baking pan or a wood chip box with aluminium foil on the bottom to prevent leakage.
First put Vacherin Mont-d’Or AOP on the grill in a lower temperature area, close grill lid and grill for around 20 minutes. At the end of cooking time move to a higher temperature area, to get a nice crust on top. After some 15 minutes place the vegetable kebabs on the cooking grid and grill for about 5 minutes, turning occasionally.
Serve Vacherin Mont-d’Or AOP in the wood chip box with the vegetable kebabs.