Blitz the almonds and pistachios in a food processor. Add the oil, lemon juice, mint and pepper, mix.
Brush both sides of the courgette with oil, season with salt. Place 2 slices in a cross, place a piece of grilled cheese on top. Add 2 tsp of the nut mixture, press down gently. Fold the courgette over the top, tie the parcel with kitchen twine.
Charcoal/gas/electric grill: Grill the courgette parcels over/on a medium heat (approx. 180 °C for approx. 4 mins. on each side.