Preheat the oven to 200°C/390°F and line a wide baking pan with baking paper.
Slice the zucchini and cut long strips to make fries.
Whisk the egg on a plate and season with salt and pepper. Be frugal with the salt since the parmesan cheese is already sharp and salty.
Add the grated parmesan cheese to another plate.
Dip the zucchini sticks in the egg to coat evenly, and then toss into the grated parmesan. Press to coat evenly on all sides.
Place the fries on the baking pan and drizzle with the olive oil.
Bake in the preheated oven for 15-20 minutes, rotating the pan halfway through, until golden brown and crispy. Serve warm.