Preheat barbecue on high. Cook capsicum on grill plate for 15-20 minutes, turning frequently, until skin blackens and blisters and flesh is tender. Place in a plastic bag. Set aside to cool. Scrape away skin. Cut each in half lengthways. Remove seeds and membrane.
Place a haloumi slice on a capsicum half. Top with one quarter of tapenade, basil leaves and lemon rind. Cover with another capsicum half and secure with string. Repeat to make four parcels.
Cook on grill plate on medium heat for 3-5 minutes each side, until cheese begins to melt. Drizzle with lemon juice and serve immediately.