Preheat a large char grill on high.
Add capsicum, skin-side down, and cook for 4-5 minutes or until skin is charred and blistered. Transfer to a heatproof bowl, cover with plastic wrap and set aside for 5 minutes (this helps lift the skin). Peel the skin from the capsicum. Thinly slice capsicum and place in a large bowl.
Meanwhile, add zucchini to the grill and cook for 2 minutes each side or until brown and tender. Transfer to the bowl with the capsicum.
Add haloumi to the grill and cook for 1-2 minutes each side or until brown and heated through. Transfer to a plate.
Combine the oil, lemon juice, mustard, garlic and thyme in a jug. Drizzle over the zucchini mixture and gently toss with tongs to combine. Add the haloumi and gently toss to combine.
Arrange zucchini mixture on a serving platter and sprinkle with parsley and capers.