Don't bake them too long or they'll dry out and be difficult to peel off. To help from sticking, you can lightly spray the parchment paper with oil. But you'll end up with a less crispy shell.
Squeezing out as much excess water in the grated zucchini will make the taco shells a little more "firm". One method is to microwave the zucchini till moisture releases, then squeezing out the water. Or lightly sauteing the suzzchini for a few minutes, then squeezing out the water. Just be careful to not cook the zucchini too much or use too much oil, or else you'll get mush.