Coat one side of a piece of aluminum foil large enough to hold all the potatoes and vegetables with cooking spray. Place the potatoes, onion, and green bell pepper in the center of the foil, and season with salt and pepper to taste. Then place small pats of the butter or margarine over the vegetables.
Carefully seal all the edges of the foil around the vegetables to form a packet. (Note: Double wrapping will help to prevent burning.)
Place packet on the preheated grill, and grill for 20 minutes. Turn packet, and grill for 10 more minutes.
Carefully open packet, check for tenderness with a fork. If tender, sprinkle the cheese over the vegetables and allow it to melt. Transfer to a platter, and serve with your main entree.