- Preheat the grill, setting the burners to high.
- Oil the peppers. Grill skin-side down until the skin is thoroughly blackened. Place in an airtight container. Let cool. Slide off the skins and cut the peppers into 6 strips. Set aside.
- Meanwhile, place the eggplant and zucchini slices on a baking sheet and coat well with oil. Season with salt and pepper.
- Grill the eggplant and zucchini slices, turning once. Set aside.
- With the rack in the middle position, preheat the oven to 180°C (350°F).
- On each eggplant slice, lay a zucchini slice, a pepper strip and a basil leaf. Roll and secure with toothpicks.
- Place the rolls side-by-side in a 23 x 33-cm (9 x 13-inch) baking dish. Bake until the eggplant is tender, about 15 minutes. Lay the cheese on the rolls and brown under the broiler.
- Remove the toothpicks and serve.