Preheat the oven to 400 degrees F. Roll the puff pastry out to a 12-inch square on a floured work surface. Brush lightly with the olive oil and sprinkle evenly with the cheese, thyme and lemon zest. Cut into 6 even strips.
Shingle alternating yellow and green slices of squash and zucchini along the length of each strip of dough making sure to leave half the dough strip uncovered and allowing the green and yellow skins to hang over one edge slightly. Fold the uncovered dough over the squash and pinch together at the two ends. Starting at one end, roll each strip into a spiral. Lightly press the rolled tarts into a muffin tin sprayed with cooking spray.
Bake until the crusts are browned and crisp on the bottom, the top is dry and crisp and the squash is tender and browned on the edges, about 40 minutes. Remove to a rack to cool slightly. Serve warm.
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