Cut into thin slices and blanch 3-4 minutes in lightly salted boiling water. Drain well. Cover each slice of zucchini with thin slices of mozzarella and then wrap it to form a roll. Dredge in a beaten egg milk and then in breadcrumbs. Place in baking dish, drizzle with a little olive oil and cook in a preheated oven at 400 degrees for about 15 minutes, turning halfway through cooking, until golden brown and crispy.