In a small bowl, combine oil, paprika, garlic and lemon zest and stir with a fork.
Place the asparagus in a casserole dish and pour the mixture over asparagus. Toss until evenly covered.
Place asparagus in a grilling basket or directly on the grill, being careful not to lose any through the grates. Cook to desired tenderness and season with salt and pepper
NOTE: If you do not have a grilling basket: Lay asparagus side by side and pierce on 2 wooden skewers to form a raft. Place rafts on the grill and brush with oil mixture.