How to Make It
Preheat oven to 400°F. Score cut side of zucchini halves 1/8 inch deep in a diamond pattern. Toss zucchini, shallot, 2 tablespoons oil, chile, garlic, 1 teaspoon salt, and pepper in a large bowl. Rub mixture on cut sides of zucchini. Wrap each zucchini piece with 2 prosciutto pieces, and arrange, cut side up, on a parchment paper–lined baking sheet. Bake in preheated oven until zucchini is crisp-tender, 14 to 16 minutes. Increase oven temperature to broil on HIGH, and broil until zucchini begins to char and prosciutto is just beginning to crisp and char, 3 to 4 minutes.
Transfer zucchini to a serving plate. Toss parsley with remaining 1/2 tablespoon oil and 1/8 teaspoon salt. Top zucchini with parsley mixture, and drizzle with balsamic glaze.
To grill, preheat a gas grill to high (450°F to 500°F) on 1 side. Place prepared prosciutto-wrapped zucchini, cut side up, on oiled grates over unlit side of grill. Grill, covered, until zucchini is crisp-tender, about 15 minutes. Reduce heat to low (250°F to 300°F). Carefully flip zucchini, and transfer to lit side of grill; grill, covered, until zucchini begins to char and prosciutto is slightly crisp and charred, about 2 minutes.