1. Preheat oven to 400°F. Toss zucchini, onion, bell pepper, eggplants, and fennel in large bowl with oil, garlic, thyme, and oregano; season with salt and pepper, if desired.
2. Arrange vegetables on two baking sheets, and roast 20 minutes in oven, rotating pans from top to bottom and flipping vegetables halfway through for even cooking. When vegetables are just tender, transfer to bowl, and set aside to cool. Reduce oven temperature to 375°F.
3. Add tomatoes, olives, parsley, and cheeses to roasted vegetables; toss gently; and season with salt and pepper, if desired.
4. Mound 3/4 cup filling in center of each dough round. Gently fold edges inward, forming 6 to 8 pleats as you move around the dough. Some filling will be visible in center of each tart. Chill filled tarts 10 minutes.
5. Whisk egg with 2 Tbs. water. Brush dough tops lightly with egg wash, and transfer tarts to parchment-lined baking sheet. Bake 20 to 30 minutes, or until crust is golden and filling is bubbling.