Mix the flour, cheese, salt and yeast in a bowl. Add the water and oil, knead to form a soft, smooth dough. Cover and leave to rise at room temperature for approx. 1½ hrs. On a lightly floured surface, roll out the dough into a rectangle approx. 2 cm thick.
Cut the dough into 8 strips and thread onto skewers, alternating with the vegetables. Brush with the melted herb butter.
Cover the bread twists and grill over/on a medium heat (approx. 180 °C, for approx. 20 mins. on all sides. Serve with the remainder of the herb butter.