On a foil-lined greased pan, arrange zucchini, onion, and garlic in a single layer. Bake at 425 degrees F until vegetables are very tender (15 to 20 minutes for garlic, 25 to 30 minutes for zucchini and onion). Let cool.
In a food processor, process vegetables until coarsely chopped. Stir in yogurt and parsley; season to taste with lemon juice, salt, and cayenne pepper.
Serve with dippers (not included in nutritional data).