Cut the zucchini in half lengthwise, then cut each of those pieces in half lengthwise again. Using a vegetable peeler, shave seeds from inner portion of each zucchini quarter. Then cut the pieces in half crosswise, so you end up with 16 pieces total that are about 1/2-inch thick and 3 to 4 inches long.
In a shallow bowl, lightly beat the egg. In another shallow bowl, combine the panko (or almond flour or bread crumbs), Parmesan, Italian seasoning, garlic powder, salt, and pepper.
Dredge the zucchini pieces in the egg, then in the crumb mixture. Gently press crumbs to zucchini to coat and adhere.
Lightly spray the air fryer basket with oil to help prevent the zucchini from sticking. Arrange half of the zucchini pieces in the basket in a single layer, spaced evenly apart. Spray zucchini with the oil to help evenly brown. Arrange remaining zucchini on top, perpendicular to first layer. Spray with oil.
Cook in air fryer at 400°F for 9-10 minutes, or until breading is crisp and golden.
For the yogurt dip, whisk the yogurt, lemon zest, juice, salt, and pepper together in a small bowl. Serve with zucchini fries.
Notes
To cook in an oven, arrange fries in single layer on a baking sheet. Bake for 30 minutes at 425°F.