Preheat a grill or grill pan for cooking over medium-high heat until hot, about 15 minutes.
Mix the panko, thyme, pepper flakes and 1 teaspoon of salt in a medium bowl.
Mix the yogurt and milk in a medium bowl. Dip the zucchini wedges in the yogurt sauce, then dredge in the panko. Spray the zucchini sticks with nonstick cooking spray and grill over medium-high heat until the zucchini is nicely marked and tender, about 5 minutes per side. Season with kosher salt and freshly ground black pepper. Serve with lemon wedges.