In a large saucepan, bring water to a boil. Add pearl onions; boil for 3 minutes. Drain and rinse in cold water; peel.
In a large nonstick skillet coated with cooking spray, saute onions and carrot in butter for 1 minute. Add mushrooms and zucchini; saute 6-8 minutes longer or until vegetables are tender. Stir in the lemon juice, marjoram and salt.
In a small microwave-safe bowl, combine the sauce ingredients. Cover and microwave on high until heated through, stirring once. Serve with vegetables.