- Make the romesco sauce: In a blender, combine peppers, tomato, almonds, garlic, and lemon juice. Blend until smooth, then add hot sauce to taste. Season to taste with salt and pepper. With blender running, slowly drizzle in oil to emulsify; stop blending as soon as the sauce has thickened. Keep refrigerated in a covered container for up to 1 week.
- Make the lettuce wraps: Prepare a grill for high heat. Cut vegetables into roughly even bite-sized pieces and slide onto skewers, alternating squash, eggplant, okra, and onions. Drizzle with oil and season liberally with salt and pepper. Grill skewers until vegetables are charred on the outside, about 2 to 6 minutes, rotating frequently. Remove from grill and brush liberally with romesco sauce. Return to grill and cook until sauce caramelizes, about 1 minute more. Serve with extra romesco, lettuce, cheese, nuts, and garnishes. Sprinkle with mint.