Wash the vegetables and cut in thin slices. Chop finely the onions.
Warm half of the oil in a nonstick frying pan and roast first the potatoes and after zucchini and in the end the eggplants and peppers. Add a little bit of olive oil, if needed, and saute the onions and mushrooms until they absorb their liquids.
Drain all the vegetables in an absorbing paper and place them in a platter. Beat the remaining olive oil with the yogurt, the blue cheese, the garlic the basil or parsley and the vinegar and accompany the the warm vegetables with the cool and fresh sauce of yogurt.