With shish kebabs, you marinate the meat to tenderize and flavor it. Typically, you don't marinate kebab vegetables, but you can brush them with a mixture of olive oil, salt, pepper, dry herbs and spices to add flavor. If you wish to infuse your kebab vegetables with unusual or robust flavors -- like fennel or extra garlic -- you certainly can marinate them.
You may need to blanch harder vegetables like cauliflower, beets and carrots to get them to absorb a marinade. Other veggies like eggplant, squash and mushrooms are soft and will absorb a marinade without much encouragement. Blend your choice of vinegar or wine with oil, fresh chopped herbs and minced onions and garlic in a metal or glass bowl. Cube your vegetables and add to the oil mixture. Mix them well to coat and cover the bowl with plastic wrap. Place the vegetables in the fridge to marinate for 30 minutes to 2 hours. Grill softer vegetables the same day. Marinate harder raw vegetables overnight if desired.