In a small sauté pan, heat the oil and add the fennel, shallots, zucchini, garlic and thyme. Saute for approximately 5 minutes until the zucchini and shallots start to soften. Remove from heat, add to a bowl and mix in the three cheeses. Top each mushroom with the zucchini mixture, sprinkle some breadcrumbs on top of each and place on a baking sheet. Bake at 425 degrees for 10 minutes or until the cheese has melted and the tops are lightly browned.