Preheat oven to 350 degrees. Fold a large piece of parchment paper (about 15 by 16 inches) in half to crease it; open, and lay it flat.
On one side of crease, mound zucchini; top with shallot, butter, dill, and lemon slices. Season with salt and pepper. Place salmon on top; drizzle with lemon juice, and season with salt and pepper.
To close, fold parchment over salmon; make small overlapping pleats to seal the open sides and create a half-moon-shaped packet. Place on a rimmed baking sheet; bake until salmon is opaque throughout, 15 to 17 minutes. Serve (see note).
Two Ways to Serve: You can either place the packet on a plate and cut it open, or make a slit in the paper and use a large metal spatula to transfer the contents to a serving plate.