Mix together the oil, lemon rind, paprika and thyme in a non-metallic bowl. Add the lamb and mix together until well coated. Cover and leave to marinate in the refrigerator for at least 2 hours and up to 12 hours.
When ready to serve, prick the aubergines once or twice with a fork. Cook under a preheated hot grill, turning every couple of minutes, until charred and browned all over. Leave to cool slightly, then cut in half lengthways. Scoop out the soft flesh into a blender and discard the skins. Add the oil, garlic, yogurt and lemon juice, then whizz until smooth and season.
Thread the lamb on to 12–15 metal skewers. Heat a griddle pan until smoking hot, then add the skewers and cook for 5–7 minutes on each side until browned and just cooked through. Serve with the aubergine dip.