Slice Kabocha into 1/4" (6 mm) thick pieces. Cut eggplant into halves vertically. Make shallow diagonal cuts on the eggplant skin, then cut into 2" long pieces. Cut red pepper into 1/2" (1.2 cm) wide strips. Cut the ends off of the green beans. Cut okura vertically into halves. Remove any moisture from vegetables.
Mix Mentsuyu and water in a large container at least 2" deep.
Heat oil to 350F (175C). Deep-fry vegetables. Cook Kabocha for 2 minutes, eggplant for a minute, and others for 30 seconds or so. Place vegetables in the sauce mixture directly after removing from the oil.
Refrigerate for a couple of hours to marinate the vegetables and chill.