Slice off the end of the fennel bulbs, then slice in half. Remove the outermost layer of fennel. Slice each half into 3 to 4 wedges and cut out the core. You should have large, separated pieces of fennel. Lay fennel on a baking sheet. Drizzle with remaining 1 tablespoon of olive oil and sprinkle salt and pepper.
When cheese is crisp and vegetables are tender, remove from oven. Let cool slightly, then transfer to a serving dish and sprinkle with lemon zest. Serve immediately.