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Tip the courgette strips into a bowl with a little salt, the paprika and half the oil, and toss to coat. Heat a griddle or large frying pan over a high heat and sear the courgette slices until lightly charred and wilted, then lift onto a plate and leave to cool. You may need to do this in batches.
Cut each block of halloumi into eight slices, then in half along the seam. Tip the halloumi into the bowl you used for the courgettes, along with the other half of the oil, the lemon zest and juice, some black pepper and the thyme, and toss to coat. Wrap the courgette slices around the halloumi pieces, then arrange on an oiled, shallow baking tray. This can be done up to a day ahead, then covered and chilled until ready to cook.
Heat the oven to 200C/180C fan/gas 6. Brush the ‘pigs in blankets’ with a little oil, then bake for 12-15 mins until sizzling and the exposed halloumi is starting to brown. Serve immediately.