In a small bowl, mix feta cheese and 2 tbsp Pesto Sauce.
Lay chicken flat on a work surface. With a paring knife, cut a horizontal 2” wide slit in the thick side of each breast. Tightly pack each breast with cheese mixture, zucchini, and a slice of lemon. Brush with olive oil.
Roast on a Sheet Pan for 15–20 minutes or until a thermometer inserted into filling reads 165° F (74° C).