Chop the ends off of the cucumber and use a mandolin or vegetable peeler to peel thin slices along, lengthwise. Set slices on a few layers of paper towels and cover with a few more. Pat to dry and let sit while you make the tzatziki.

To make tzatziki, combine, yogurt, lemon, garlic, dill, salt, and pepper.

Spread some tzatziki onto a cucumber slice. Top with pepper, onion, and feta. Roll up and secure with a toothpick. Continue until you have used all your ingredients.