Preheat your oven 425 degrees. Spray a 9 by 13 inch baking sheet with cooking spray and set aside.
Line a rimmed baking sheet with parchment paper. Add the zucchini slices and top with salt and pepper on both sides.
Bake the zucchini for 5 minutes. Flip and bake for 5 more minutes. If any pools of water remain after baking, use a paper towel to blot them away.
Lower the oven temperature to 350 degrees.
While the zucchini is baking, prepare the sauce. Heat the olive oil in a large skillet. Add in the onion, carrot, garlic, and bell peppers. Cook until the vegetables are soft.
While the vegetables are sauteing, stir together the egg, ricotta, and parsley. Set aside.
Stir the tomato sauce, tomato paste, basil, and oregano into the vegetables. The sauce will be thick.
To assemble pour half of the sauce in the bottom of the baking dish. Layer in half of the zucchini. Add half of the ricotta mixture and then all of the spinach. Top that with half of the mozzarella. Add the remaining sauce, then remaining zucchini slices, followed by the reamaining ricotta mixture and what is left of the mozzarella. Top with the Parmesan cheese.
Cover with foil and bake for 30 minutes. Uncover and bake for an additional 15 minutes. Let stand for 5 minutes before slicing and serving.