In a medium bowl, whisk together honey, mustard, and vinegar. Slowly add olive oil, whisking to combine. Add salt and pepper, whisking well.
Divide vegetables between 2 (1-gallon) resealable bags. Pour honey mixture evenly over vegetables. Refrigerate for 4 hours, turning halfway through.
Tear 5 (12-inch) pieces aluminum foil. Evenly divide vegetables into 5 portions, and place in center of each piece of foil. Pull sides of foil over vegetables, and fold over to hold together. Fold ends of foil in toward packet to seal.
Preheat grill to medium-high heat (approximately 350° to 400°).
Cook vegetables over indirect heat until desired degree of doneness is reached, 15 to 20 minutes. Squeeze lemon over vegetables before serving.