Preheat the oven at 180 degrees celsius (350 Fahrenheit)
Wash zucchini and grate. Let it sit in a colander for about 1-2 hours. Squeeze liquid out of zucchini by hand and place in large bowl.
In 2-3 teaspoons olive oil, sauté the onion until soft (do not brown). Remove from pan and add to zucchini.
In a small bowl mix the egg with the milk and crumbled feta and add to the zucchini mixture.
Add all the herbs and mix well.
Brush a pan that is an appropriate size so that you have thick layer of the zucchini mixture in between, usually a little bit smaller than the size of the phyllo sheet (9 X 14 inches).
Brush the bottom of the pan with olive oil and place a phyllo sheet than brush it with olive oil, than place another phyllo sheet brushing with olive oil, and continue until you have used half of your phyllo sheets.
Spread the zucchini mixture and then layer the rest of the phyllo sheets on top, brushing with olive oil each phyllo sheet. When you have used all them brush the top sheet with the olive oil and then score the top phyllo layer in the pieces you want (do not cut all the way through).
Bake about 40-50 minutes.