Thinly slice the cucumbers lengthwise: a vegetable peeler is fab for this. Lay the cucumbers on top of a paper towel lined cutting board while you prepare the filling.
Add the feta and yogurt to a medium bowl. Mash to combine using a fork. Add the bell pepper or sun dried tomatoes, olives, dill, lemon, and pepper to the bowl. Stir well to combine. In a bowl, mash the feta using a fork.
Place 1 - 2 teaspoons of mixture at one end of a cucumber strip and roll up. Secure with a toothpick. Repeat with remaining strips. If not serving immediately, chill until ready to serve.