Preheat oven 375 degrees F. Trim zucchini ends and cut lengthwise into 1/4-thick slices. Grill zucchini 3-4 minutes per side. Remove from grill.
In large bowl, combine ricotta, Parmesan, egg, pesto, salt and pepper. Add spinach mixture and stir well until combined. Spoon filling onto the end of a zucchini slice and roll. Repeat with remaining mixture.
In shallow baking dish, arrange zucchini rolls in rows. Top with shredded cheese and bake 25-30 minutes until golden brown.