2. Discard the outermost slices of zucchini and brush the rest with the oil on both sides. Sprinkle with the salt and pepper. Grill until tender, about 4 minutes per side. You can make the grilled zucchini a day ahead and store in an airtight container in the refrigerator.
3. In a small bowl, combine the goat cheese, parsley, and lemon juice, mashing them together with a fork.
4. Put 1/2 teaspoon of the cheese mixture about 1/2 inch from the end of a zucchini slice. Top with a few spinach leaves and one small or half of a large basil leaf. Roll up and place seam side down on a platter. Repeat with the rest of the zucchini slices.
5. You can make these up to a day before you are ready to serve and store them in an airtight container in the refrigerator.