Preheat oven to 375 °F.
Slice the zucchini in half horizontally, then slice each half vertically into ¼ inch thick slices. Lightly salt the slices and lay them between two paper towels on a baking sheet. Place another baking sheet on top of the slices and weigh it down with weights or cans. Allow the zucchini to press for 10-20 minutes to remove excess water.
While the zucchini is pressing, make the filling. Finely dice the shallots and garlic and sauté in olive oil until soft and translucent. Mix the shallots and garlic into the ricotta, along with the zest and juice from the lemon, fresh thyme, and salt and black pepper to taste. After you have tasted the filling and adjusted the seasoning to your liking, mix in the egg.
Lightly oil the zucchini slices with olive oil and season with freshly ground black pepper, before grilling on medium-high heat, 2-3 minutes per side or until the slices are lightly charred and soft.
When the slices have cooled enough to handle, spread a couple heaping teaspoons of the filling onto each slice, and carefully roll into a tube. Place each zucchini roll vertically into a baking dish, packing them together to help keep them from falling over. When the dish is filled, sprinkle a generous coating of pecorino romano and shredded mozzarella over the top.
Bake for 15 minutes until the cheese is melted (optional: broil for the last few minutes of baking to really bubble the cheese on top).
Serve with lemon slices for squeezing on top!