Heat a large skillet over medium heat for 1 minute. Add the olive oil, then the zucchini, bell pepper, and red onion. Cook, stirring occasionally, until softened, about 7 to 8 minutes.
Add the black beans, hot sauce (if using), chili powder, cumin, garlic powder, salt, pepper, and smoked paprika. Stir to combine and cook until heated through, about 5 to 7 minutes. Remove from heat and let cool for 5 minutes.
Lay a tortilla flat on a work surface. Sprinkle with cheese, then spoon about 1/3 cup of the filling onto the center. Fold in the sides, then roll tightly from the bottom to enclose.
To freeze, wrap each burrito individually in parchment paper or foil. Store in a freezer-safe container or zip-top bag for up to 2 months.
For a crisp exterior, grill the burritos seam-side down in a clean skillet over medium heat for 2 minutes per side before cooling and wrapping for storage.
To reheat, microwave unwrapped on a plate for 1 minute per side, or defrost overnight and bake at 350°F (175°C) for 10 to 15 minutes. Bake frozen burritos unwrapped at 350°F (175°C) for 20 to 25 minutes, turning halfway through.