Step 1Heat the grill or grill pan. Char the peppers until blistered on all sides. Or char the pepper over a gas flame on the stovetop, turning it as the skin blisters and turns black. Cool, then slip off skins and remove seeds. Cut into thin strips and set aside.
Step 2Create stripes in the eggplant by removing lengthwise half-inch strips of peel so that peeled strips alternate with peel left on. Then cut the eggplant crosswise into 12 half-inch-thick slices (they will have decorative edges). Brush the slices very lightly on both sides with olive oil, and season with salt and pepper. Grill until soft, about 9 minutes. Cool.
Step 3Cut the zucchini crosswise into half-inch-thick slices. Brush very lightly with oil, season with salt and pepper, and grill until soft, about 7 to 8 minutes. Cool.
Step 4Heat the oven to 325 degrees. Oil 4 small ramekins or custard cups.
Step 5Mix the eggs with the cream, garlic, basil and cayenne. Add the cheese.
Step 6Place 1 eggplant slice in each ramekin. Layer 3 or 4 zucchini slices over to cover. Strew a few pepper strips around the sides of the ramekin. Repeat with the remaining eggplant, zucchini and peppers, ending with eggplant. Press down slightly. Ladle egg mixture over each.
Step 7Place the ramekins in a deep baking dish. Pour boiling water into the dish to come halfway up sides of ramekins. Bake until a toothpick inserted in the center of the custard comes out clean, 25 to 30 minutes.
Step 8Remove the ramekins from the water bath and cool slightly on rack before unmolding. Run small spatula around the perimeter to loosen, then turn out onto plate. Flip over with a larger spatula.