Marinate the lamb
Place 8 bamboo skewers in cold water to soak. Grate 3 teaspoons zest from the lemons and squeeze 5 tablespoons (2½ fl oz/75 ml) juice. In a shallow glass or ceramic dish, combine 2 teaspoons of the lemon zest, 3 tablespoons of the lemon juice, the oregano, half each of the onions and garlic, and the oil. Season the lamb with salt and pepper. Add to the marinade and turn to coat. Let stand for 15 minutes at room temperature.
Make the yogurt sauce
Meanwhile, in a bowl, stir together the yogurt, the cucumber, the remaining 1 teaspoon lemon zest and 2 tablespoons juice, and the remaining onions and garlic. Season with salt and pepper. Cover and refrigerate while you cook the lamb.
Cook the lamb
Prepare a gas or charcoal grill for direct-heat grilling over high heat and oil the grill rack. Or, preheat a broiler (grill). Remove the lamb from the marinade, discarding the marinade. Thread the lamb onto the skewers. Place on the grill rack, or put on a baking sheet and place under the broiler. Cook, turning once, for 6–7 minutes for medium-rare, or until done to your liking. Serve with the yogurt sauce.