Cut the courgette
(zucchini) to half length, then slice it thinly into long slices. Slice the peppers. Cut the onion into eight
(or whatever size you like) wedges, and separate the layers. Toss the veggies with olive oil, salt, pepper, and basil. Bake at 350 degrees for about 25 minutes.
This sandwich could've used a little more diversity, but like I said, I used what I had on hand. Aubergine
(eggplant) would've been nice place of the second pepper, artichokes might've been nice, maybe some mushrooms, but you can get creative with your veggies and spices. At 25 minutes, the veggies were roasted and sweet, but not limp, which was exactly what I was after.
While the veggies are roasting, whisk together the mayonnaise, lemon juice, and garlic. Spread it onto the bread, sprinkle the bread with feta, and put it in the oven for the last 5 minutes or so of veggie roasting. You don't necessarily need to toast the bread, just get the chill out of feta. I'd have preferred this on ciabatta, but all I has was a white baguette, so that's what I used.

Stuff the bread with the roasted veggies, and voila! I was almost back in Siena :)