Preheat oven to 350 degrees F. Spray a baking dish with cooking spray and spread a thin layer of marinara sauce evenly in the bottom. Set aside.
Spray a grill or indoor grill pan with cooking spray and grill the zucchini slices for about 3 minutes per side, or until soft enough to roll.
Meanwhile, prepare the filling. In a medium bowl, stir together ricotta, mozzarella, Parmesan, pesto, salt, and egg until completely combined.
Spread a heaping tablespoon of filling onto each slice of zucchini, then roll. Place seam-side down in the prepared baking dish.
Place an additional dollop of marinara sauce on top of each roll up.
Bake, uncovered, for about 15 minutes (or until ricotta filling is heated through and set). Garnish with additional Parmesan if desired.