To prepare the muffin baking pan, grease it lightly (you can also use parchment paper).
Cut each filo sheet in half. Fold each half in half again and arrange them in the pan, ensuring the edges are folded towards the center and securely fastened.
Preheat the oven at 355 ℉ (180 ℃).
Peel thin strips of zucchini and set them aside.
In a separate bowl, combine feta, eggs, scallions, pepper, and heavy cream. Once well mixed, pour this mixture over the filo sheets in the pan.
Wrap 2 zucchini strips around your pointer and middle finger. Remove and carefully place the zucchini strips on top.
Bake for about 30 minutes. Remove from the oven and finish with a sprinkle of thyme before serving.