For the dough: Heat milk until lukewarm. Mix flour and dry yeast in a bowl. Add eggs, 1 teaspoon salt, herbs, milk and olive oil and knead with the kneading hook of a hand mixer until smooth. Cover and let rest about 30 minutes in a warm place.
For the filling: Rinse and grate zucchini and season with salt and pepper. Let soak for 15-20 minutes. Crumble the feta cheese. Dry zucchini in paper towels.
Knead dough briefly. Roll out dough on a lightly floured work surface into a rectangle about 25 x 20 cm (approximately 10 x 8 inches). Spread cheese and zucchini on the dough, roll along the sides to the center and cut with a sharp knife into 20 slices. Place on a baking sheet lined with parchment paper. Flatten the snails slightly. Bake in preheated oven at 200°C (gas mark 3-4, fan: 180°C) (approximately 400°F) for about 15-20 minutes. Remove from oven and serve.