In a large bowl, whisk together flour, sugar, baking powder, salt, black pepper, and thyme.
Using a cheese grater, grate the butter into the dry ingredients, and whisk or stir to distribute the butter shavings.
Whisk in the zucchini and goat cheese to evenly distribute into the dry ingredients.
Drizzle the heavy cream into the dry ingredients, stirring to distribute - cream will absorb very quickly! Dough will quickly begin to clump together as you stir in the cream.
On a lightly floured surface, turn out the dough, and knead gently 7-8 times, or until it comes together. Do not overwork the dough - just knead til it comes together, adding additional cream as needed for it to be just moistened. Dough will be kinda sticky, just make sure to flour your surface.
Pat into a 1-inch thick disk.
Using a biscuit cutter or 3-inch round cookie cutter, cut out as many rounds as possible.
Reform dough scraps, and cut additional rounds.
Arrange scones two inches apart on parchment paper or silicone mat-lined baking sheets.
Brush tops with heavy cream, and sprinkle with additional pepper, if desired.
Bake at 350 degrees for about 30 minutes, or until bottoms and edges are lightly browned, and the centers appear set.
Remove to a wire rack to cool.