Rinse and dry zucchini; cut each in half lengthwise, then cut crosswise into 1/4-inch-thick slices. In a bowl, mix zucchini with olive oil, 1/8 teaspoon salt, and 1/8 teaspoon pepper. Divide mixture equally between two baking sheets, each 12 by 15 inches, and spread zucchini in a single layer.
Bake in a 400° regular or convection oven until zucchini is tender when pierced, 8 to 10 minutes. Pour back into bowl. Rinse and dry one baking sheet.
Put walnut pieces on clean baking sheet and bake in a 350° oven until pale gold beneath skins, about 5 minutes.
Meanwhile, in a 5- to 6-quart pan over high heat, bring broth to a boil. Add orzo, reduce heat, and simmer, stirring occasionally, until orzo is tender to bite and liquid is absorbed, about 10 minutes.
Stir zucchini, walnuts, lemon juice, and walnut oil into orzo. Add more salt and pepper to taste.