Marinate lamb cubes in mixture of olive oil, garlic, yogurt, soy sauce, mustard and thyme with pepper to taste for at least two hours, but preferably overnight.
Thread lamb on skewers, alternating with pieces of onion and peppers.
Combine yogurt, garlic, lemon juice and coriander leaves and season to taste with salt and pepper.
Preheat grill or broiler.
Grill lamb for five to seven minutes, turning once for medium rare; cook longer if you want it more well done.