Combine the olive oil, lemon juice, parsley, chopped onion, garlic, salt, thyme, marjoram, pepper and celery seeds in a bowl and mix well. Pour over the lamb in a shallow dish, turning to coat.
Marinate, covered, in the refrigerator for 8 to 10 hours, turning occasionally. Drain, reserving the marinade.
Thread the lamb, mushrooms, onion wedges, green peppers and carrots alternately on skewers.
Grill over hot coals until the lamb is done to taste and the vegetables are of the desired degree of crispness, turning and basting occasionally with the reserved marinade.