Combine cooking oil, onion, parsley, lemon juice, salt, marjoram, thyme, garlic, and pepper; stir in lamb.
Cover; refrigerate 6 to 8 hours, stirring occasionally.
Drain lamb, reserving marinade.
Cook wedges of onion in water till tender; drain.
Thread six skewers with lamb cubes, onion wedges, green pepper squares, and sweet red pepper squares.
Grill over hot coals for 10 to 12 minutes; turn and brush often with reserved marinade.