Preheat oven to 450°.
Arrange zucchini slices in an 11 x 7-inch baking dish coated with cooking spray. Place fish over zucchini; sprinkle fish evenly with oregano and next 4 ingredients. Arrange bell peppers and onion over fish; drizzle with oil. Top with cheese and lemon slices.
Bake at 450° for 20 minutes or until fish flakes easily when tested with a fork.