Heat barbecue to medium heat. Preheat oven to 120°F.
Spread lemon and orange zest on a baking sheet; dry in oven for about 10 minutes. Place fennel seeds in a pan; roast in oven without oil until fragrant. Let cool.
Using a mortar and pestle, combine fennel, sea salt, sugar and hot pepper flakes; grind until fine. Add thyme and dried citrus to mortar and pestle; grind until fine. Mix with paprika and garlic. Spread rub on a dinner plate.
Halve peaches and remove pits. Press flat side into rub and let peaches stand for 10 minutes. Pat feta dry; cut each in half and press both sides into rub. Let stand for 10 minutes.
Cut zucchini lengthwise into scant ¼-inch thick slices (thin enough to wrap around feta); sprinkle with 2 tsp of the rub mixture and let rest 5 minutes. Pat dry with paper towel. Wrap cheese block with 2 to 3 zucchini strips; secure with skewers. Lightly brush each cheese parcel all over with some of the oil; lightly brush cut side of peaches.
Cook cheese parcels on greased grill for 2 to 3 minutes per side; cook peaches on cut side until caramelized and slightly softened, about 3 minutes.
Remove cheese and peaches to a platter; let rest for 5 minutes. Mix remaining zucchini strips with 1 tbsp of the remaining oil; grill until browned, about 1 minute per side. Add zucchini to platter; drizzle with remaining 2 tbsp oil. Serve immediately.