1. Preheat your grill. Real wood charcoal tastes best, but gas works fine. Avoid instant-light briquettes as they make food taste like lighter fluid. Aim for medium heat – if your grill lid has a thermometer built into the lid, it should read about 350 degrees.
2. Slice both ends off the zucchini, then cut each zucchini in half (approximately 3-inch halves). Take each half and cut into roughly four 1⁄4-inch slices.
3. Place zucchini on a piece of foil that is large enough to fold over the zucchini and fold up the edges and pinch together, leaving the top open. Drizzle the coconut oil over the zucchini then sprinkle the cumin, salt and saffron on top. Using your hands or a spatula, toss until zucchini are well coated.
4. Seal the foil pouch and place zucchini on grill. Cook for 8 to 10 minutes until zucchini is tender, checking occasionally to see if done.