Heat grill to high. Slice zucchini lengthwise and grill, turning once, until grill marks appear, about 4 minutes. Let cool, then chop. In a bowl, combine zucchini with feta and oil. Season to taste with salt and pepper.
Spread about 1/2 tsp. prepared harissa on each baguette toast and top each with about 1 tbsp. zucchini mixture.