Prepare the grill for direct cooking over low heat (250° to 350°F) and preheat the grill pan.
In a large bowl whisk the oil, sage, thyme, salt, and pepper. Add the squash, apple, sweet potato, and onion pieces and toss to coat evenly.
Spread the vegetables and apple in a single layer on the grill pan. Grill over direct low heat, with the lid closed as much as possible, until tender, 20 to 25 minutes, turning occasionally. Transfer to a serving bowl and stir in the orange zest. Serve warm.