Preheat oven to 450°. In a small bowl, combine first 5 ingredients; set aside. Cut parchment or heavy-duty foil into four 18x12-in. lengths; place a fish fillet on each. Top with carrot and zucchini; drizzle with orange juice mixture.
Fold parchment over fish. Working from bottom inside corner, fold up about 3/4 in. of the paper and crimp both layers to seal. Repeat, folding edges up and crimping, until a half-moon-shaped packet is formed. Repeat for remaining packets. Place on baking sheets.
Bake until fish flakes easily with a fork, 12-15 minutes. Open packets carefully to allow steam to escape.
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