Preheat the oven to 180°C (356°F) or set up your grill.
Prepare the zucchini: Slice the zucchinis lengthwise into strips—not too thick, so they can be rolled, but not too thin, as they may dry out.
Season & bake: Arrange the slices on a baking tray, sprinkle with salt and pepper, drizzle with olive oil, and bake for about 15 minutes, or until golden brown.
Cool: Remove the zucchini slices from the oven and let them cool completely.
Prepare the filling: In a bowl, mix together the cottage cheese, sour cream, lemon juice, chopped shrimp, cumin, chili powder, paprika, salt, pepper, and dill until well combined.
Assemble the rolls: Take a slice of roasted zucchini, place a teaspoon of filling at one end, and roll it up. Secure with a small breadstick or toothpick.