In a container large enough to hold all of the vegetables in a shallow layer, combine the tempura sauce, sherry and oil. Add the vegetables and mix well to coat all of the pieces. Marinate the vegetables for at least 30 minutes, but not more than 2 hours, stirring occasionally.
String the vegetables on bamboo skewers, alternating colors and flavors as you go. Place the vegetables on a broiler rack and broil about 4 inches from heating element in the oven for 4 minutes on one side.
Turn, brush with marinade, and broil another 2 or 3 minutes, or until vegetables -are hot and golden. The vegetables may be served on the bamboo skewers, or slipped - off the skewers and served on a Jarge platter with toothpicks.
Yields about 12 servings.