Thread the shrimp, pineapple, zucchini, and bell pepper onto skewers. Brush with olive oil.
Preheat grill or grill pan to medium heat. Place the skewers on the grill. Cook 4-6 minutes turning once. Brush with Teriyaki glaze and continue grilling 2-3 minutes.
Cook until the shrimp is opaque throughout. Remove from grill and serve. Serves 4 to 6.