In a small bowl, mix together light olive oil, Cajun seasoning, salt, cayenne pepper, and Worcestershire sauce. Place zucchinis, white onions, and yellow squash in a bowl, and cover with the olive oil mixture. Cover bowl, and marinate vegetables in the refrigerator at least 30 minutes.
Preheat an outdoor grill for high heat and lightly oil grate.
Place marinated vegetable pieces on skewers or directly on the grill. Cook 5 minutes, or to desired doneness.