Discard the outermost slices of zucchini and brush the rest of the slices with the oil on both sides. Season with salt and pepper. Place on a preheated grill or grill pan for about 4 minutes on each side, or until tender.
In a small bowl combine the ricotta cheese, parsley, basil and lemon juice, mashing with a fork.
Put ½ teaspoon of the cheese mixture about ½-inch from the end of a zucchini slice. Roll up and place on a platter. Repeat with the rest of the zucchini slices.