Slice zucchinis into 1/2-inch coins. Slice coins into halves or quarters, depending on size.
Bring broth and 1 cup water to a simmer in a medium saucepan; keep warm over medium-low heat until ready to use.
Meanwhile, heat oil in a large pan over medium-high. Add zucchini and shallots; cook 5 to 6 minutes, stirring occasionally, until zucchini is light golden brown. Stir in garlic, rice, thyme, and salt, and reduce heat to medium-low. Cook, stirring often, until grains start turning translucent, about 3 to 4 minutes.
Ladle in 2 cups broth and simmer, stirring frequently, until completely absorbed, 8 to 10 minutes. Ladle in another 1 cup broth, stirring frequently and allowing liquid to absorb fully before adding more. Continue to add broth in 1 cup increments until rich is al dente and creamy, about 25 to 30 minutes total.
Remove thyme sprigs and add butter, lemon juice and zest, 1/2 tsp. black pepper, and 1/2 cup of the cheese. Stir constantly until butter melts into mixture and cheese is incorporated. Remove from heat and garnish with remaining 1/4 tsp. pepper, 1/2 cup cheese, and additional herbs, if desired.