Preheat grill to medium high low. Prepare 2 aluminum baking tins, or barbecue mats.
Toss onion slices in 1-2 tbsp. olive oil in one of the tins, or in a baggie if using the grill mats. Set aside.
Toss Brussels sprouts in 2 tbsp. olive oil in the other tin, or in a baggies if using the grill mats, and season with lemon pepper. Set aside.
Place the tin with the onions on the grill over low heat and cook for about 10 minutes, or until caramelized and beginning to brown, stirring or shaking the tin every few minutes. Remove from grill, set aside and turn grill up to medium high heat. You can also use the upper rack if the temp is hot enough.
Grill Brussels sprouts in the aluminum tin, either directly on the heat, or on the upper rack, for about 10 minutes, or until nicely brown, crispy and done. Stir or shake tin once or twice during this stage. Remove from heat.
To serve, place Brussels sprouts on the plate, drizzle Romesco sauce over the top of them. Garnish wiht grilled onions, feta and toasted walnuts.