Preheat grill on high. Trim zucchini ends then slice lengthwise, about 1/4 inch thick. Brush with oil and season with salt and pepper. Place on grill, with the lines running perpendicular to the length of the zucchini, keeping them straight so that hey will line up when the rolls are standing up. Grill for 45 seconds max on each side. Cool completely.
Lay two pieces of zucchini end-to-end, overlapping by two inches. Spread the cream cheese in a thin line the length of the zucchini. In the palm of your hand, arrange a basil leaf tip up. Next, layer a mint leaf, then cilantro, radish sprouts and finally a few pieces of julienned pepper.
Lay the leaves down on the left side of the zucchini strip with the bottom of the bundle just lining up with the bottom of the strip.
Roll gently until you have a tight, neat bundle that stands on it's own. Continue with the additional rolls and serve within six hours.