In a bowl, combine the zest, thyme and olive oil. Clean mushrooms and place them in a single layer on a grill pan. If some of the mushrooms are larger, slice them for equal sizing and equal cooking. Drizzle with half the olive oil mixture and season with salt and pepper.
Grill for about 10 minutes, stirring occasionally for even cooking. Just before you remove the mushrooms from the grill, drizzle the remaining oil mixture over the mushrooms and sprinkle with Parmesan cheese.