Place the feta in a sealable airtight container or glass jar. Add the cumin, coriander, red pepper, orange zest, garlic, and olive oil. Tuck in the dill and bay leaves. Tilt or stir to coat and combine. Cover and refrigerate overnight.

Meanwhile, prepare a charcoal fire using about 6 pounds charcoal and burn until the coals are completely covered with a thin coating of light gray ash, 20 to 30 minutes. Spread the coals evenly over the grill bottom, position the grill rack above the coals, and heat until medium-hot (when you can hold your hand 5 inches above the grill surface for no longer than 3 or 4 seconds). Or, for a gas grill, turn on all burners to high, close the lid, and heat until very hot, 10 to 15 minutes. Lastly, heat a grill pan over medium high heat.

When ready to grill, slice 4 small zucchini lengthwise into even strips about 1/2 inch thick. Brush both sides of each strip with some of the seasoned feta oil. Season with coarse salt and freshly ground black pepper.