With a knife or mandolin, thinly slice zucchini into rounds or strips. Melt coconut oil and toss with zucchini to coat. Layer zucchini on a grill pan or create a large foil packet and stack zucchini inside. Sprinkle lemon juice on top and add salt and pepper to taste. If using a foil packet, seal the packet. Grill on low for 10-12 minutes (flipping zucchini once if on a grill pan).