Preheat oven to 375°.
Melt 2 teaspoons butter in a large nonstick skillet over medium heat. Add onion, thyme, salt, and pepper; cook 20 minutes, stirring occasionally. Add the wine; cook 2 minutes or until wine evaporates. Spoon into a bowl; cool.
Melt 1 teaspoon butter in pan over medium-high heat. Add half of the zucchini; cook 2 minutes or until crisp-tender. Remove from pan. Add remaining zucchini; cook 2 minutes or until crisp-tender. Set aside.
Melt 2 tablespoons butter in a medium saucepan over medium heat. Add flour; cook 1 minute, stirring constantly with a whisk. Gradually add milk, stirring with a whisk. Cook 5 minutes or until thick, stirring constantly. Remove from heat. Add Gorgonzola and nutmeg; stir until cheese melts.
Spread 1/4 cup cheese sauce in the bottom of a 13 x 9-inch baking dish coated with cooking spray. Arrange 4 noodles slightly overlapping over cheese sauce; top with half of onion mixture, half of zucchini, and 1 cup cheese sauce. Repeat layers, ending with noodles. Spread the remaining cheese sauce over noodles. Sprinkle with Parmesan. Cover and bake at 375° for 30 minutes. Uncover and bake an additional 15 minutes. Let stand 5 minutes.