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Light a grill. Using a mandoline or a sharp knife, slice the zucchini lengthwise 1/4 inch thick. Grill the zucchini over high heat, turning once, until barely tender, about 3 minutes. Transfer the zucchini to a wire rack and refrigerate until chilled. Meanwhile, grill the bell pepper until blackened all over. Transfer the bell pepper to a bowl, cover with plastic wrap and let cool. Peel the pepper and cut it into very thin strips.
In a bowl, mash the goat cheese until smooth. Stir in the olives, basil, mint, parsley, tarragon, olive oil, capers, lemon zest and pepper. Season with salt.
Transfer half of the zucchini slices to a work surface and pat dry if necessary. Spread each one with 1 1/2 tablespoons of the herbed goat cheese and top with the remaining zucchini slices. Season lightly with salt and garnish each sandwich with a strip of roasted red pepper.