In a saucepan over medium heat, cook zucchini in water and salt until just tender, about 6 minutes. Add corn; cook for 1 minute. Drain. Stir in chilies; pour into a greased 1-1/2-qt. shallow baking dish. Melt butter in a saucepan; stir in flour and seasonings until smooth and bubbly. Stir in milk; bring to a boil, stirring constantly. Boil 3 to 4 minutes or until thickened. Remove from heat and stir in cheese until melted. Pour over vegetables. Bake, uncovered, at 350° for 20 minutes or until bubbly.