Trim the ends off of the zucchini and slice 1/8 inch thick lengthwise on a mandoline.
Build each skewer; alternating a rolled up zucchini slice (like a fruit roll-up), followed by a tuna piece. Each skewer should have 4 pieces of tuna. Between each element sandwich a small sprig of rosemary.
Place the skewers in a rectangular glass baking dish and pour the marinade over the skewers. Turn and coat the skewers with the marinade. Set aside for 30 minutes at room temperature or 2 hours in the refrigerator. Bring to room temperature before grilling.
Prepare a charcoal or gas grill or rectangular grill pan over high heat. Cut the lemons in half in the middle. Trim about 1/2 inch off the pointed end of the lemons.
Remove the skewers from the marinade and discard the marinade. Season the skewers with salt and pepper. Grill the skewers for about 10-12 minutes total, turning half way through the cooking time or until cooked to desired doneness.
While the skewers are grilling place the lemons on the grill cut size down for about 2-3 minutes and then turn for another 1 minute.
To serve, place spiedini on a platter drizzle with finishing olive oil, parsley, salt and pepper, and grilled lemons.