Trim the roots and dark green tops from the leeks. Wash and soak thoroughly to remove any dirt. Wash your zucchini and top and tail as needed.
Lightly grease a baking dish with the olive oil.
Cut the leeks and zucchini into even approximately 3 cm rounds. Arrange upright in the baking dish, alternating the leek and zucchini and packing them snugly together. Season the tops generously with salt and cracked black pepper.
Mix together the shallot, garlic, milk, light cream, Dijon mustard, Gruyère, thyme and nutmeg. Season generously with salt and pepper.
Pour the sauce evenly over the vegetables.
Cover and bake for 60 minutes, then uncover and bake for a further 30 minutes, or until the vegetables are tender and the sauce is bubbling and golden.
Sprinkle with Parmesan and chives, then rest for 5 minutes before serving with crusty bread.