These are really yummy!
Cut the zucchini into strips, long ways, like a hotdog. Coat in olive oil, salt, and pepper and grill until soft.
Right off the BBQ, put a little spoonful of goat cheese and pesto and a leaf of spinach on the top of the zucchini. Since the zucchini is warm the cheese should melt a little but still stay firm.
Roll the zucchini over the spinach, cheese, and pesto. Let sit for about 5 minutes. It will firm up a bit and shouldn't fall apart too much in your hands when you eat it.