Preheat oven to 425 degrees F. Cut zucchini in half lengthwise, then slice into roughly ½ inch wide by 4 inch long fries (no need to peel them).
Combine panko, parmesan, salt, paprika, and pepper in a medium bowl. Place whisked eggs in a separate medium bowl, and the flour in a third medium bowl.
Working in small batches, dip zucchini pieces into the flour, then the egg, then the panko. Set on a parchment paper-lined baking sheet.
When all zucchini are breaded, bake for 15 to 20 minutes, or until golden and crispy.
Meanwhile, add yogurt, gorgonzola, mayonnaise, and chives to a food processor and blitz until smooth. Season to taste with ground black pepper.