Preheat a grill or grill pan to 350º (medium) or grill pan on stove to medium heat.
While warm, oil grill grates or pan, if using. Cut off stem and blossom ends of zucchini and then cut in half lengthwise. Sprinkle with ½ teaspoon salt.
Grill cut sides down first until fork tender and grill marks are visible. Turn to grill the skin sides, about 5 minutes each side.
Meanwhile, peel thin brown skin from shallots and and finely chop.
Once zucchini is grilled and cool enough to handle, transfer to a cutting board and cut into pieces, no larger than ½″
Gently combine zucchini and shallot in a large bowl. Try not to overwork it, since the zucchini will be softer once grilled.
Tent with foil and set aside.
Cook the orzo according to package instructions to al dente.
While orzo is cooking, chop the dill and set aside.
Drain orzo completely and add to the reserved zucchini shallot mixture.
In a small bowl, whisk together the olive oil, lemon zest, lemon juice and chopped dill. Toss to combine.
Sprinkle crumbled feta on top and toss. Although feta cheese adds a little more saltiness, you may want to adjust seasonings (salt and/or pepper) before serving.