Make the marinade by finely mincing the capers, oregano and garlic together. Add to a small bowl along with the yogurt, olive oil, lemon zest and some salt and pepper, stirring until well combined. Place the lamb in a large resealable bag and pour in the yogurt marinade. Mix it around so the lamb is completely coated all over. Squeeze out any air, reseal the bag and place in the refrigerator for at least 30 minutes, or up to overnight.
Preheat the grill to medium-high heat.
When the lamb is marinated, remove it from the bag and wipe off any excess with paper towels. Unfold the lamb, drizzle with a little olive oil and sprinkle well with salt and pepper on both sides; this will help form a nice crust. Grill for about 15 minutes, and then flip once and cook until cooked through and you have some color on the lamb, another 12 to 15 minutes on the second side. When done, remove from the grill, tent with foil and let rest for 10 to 12 minutes before carving across the grain into thin slices.
Take the baguette and split horizontally lengthwise so you have long halves. Place on the grill to warm the bread through and get slightly crisp, about 2 minutes per side.
To assemble the sandwiches, smear the bread with Harissa Mayo, stack with slices of lamb and Quick Pickled Sweet Cucumbers. Place the top of the baguette on and slice the sandwich into quarters.