Preheat oven to 350 degrees F. Lightly butter a 3 quart baking dish. Heat large pan over medium heat and then add cooking spray. Add zucchini and sauté until soft. Remove zucchini from the pan and add the butter. Stir in flour with wooden spoon to make a paste. Cooking, stirring, until the paste puffs slightly, about one minute. Gradually whisk in milk and simmer, whisking constantly until thick (about 3 minutes). Remove from heat and add ½ teaspoon pepper, 1 ½ tsp salt, and the nutmeg. Pour sauce over zucchini and gently toss to coat.
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Transfer the zucchini mixture into prepared baking dish and sprinkle with cheese. Bake until heated through, about 10 minutes. Switch oven to broiler and brown the top of zucchini mixture, about 5 minutes.