Preheat a grill on medium heat. (can also be made in the oven preheated to 400 degrees if not using a grill)
Toss the chicken wings in a bowl with oil, paprika, oregano, garlic powder, and lemon pepper seasoning; season generously with salt.
In a bowl mix the sour cream, dill, and cucumber. Season with salt and pepper to taste. Set aside.
Make sure the grill is hot. Place the wings on the grill and cook on both sides, about 8 -10 minutes per side. Check the internal temperature with a thermometer to reach 160 degrees. (Allow the wings to get a nice crisp char but not burnt, adjust the heat level accordingly)
Garnish with scallions. Serve with cucumber dill sauce.