Preheat a large griddle pan and lightly dress all the vegetables in olive oil. Meanwhile, mix together in a small bowl the olive oil and sherry vinegar, then add the onion and capers, season with salt and pepper and set aside.
Grill the vegetables on both sides in a single layer in the griddle pan, until the bar marks start to appear. This usually takes a couple of minutes. You may need to do this in a couple of batches if all the vegetables do not fit on the grill.
Once cooked, arrange on a serving dish, season with salt and pepper, drizzle over the dressing and scatter with the chopped dill. Serve at once.