Preheat your oven to 220C/420F. Line a cookie sheet with parchment paper and set aside.
Trim the ends off the zucchinis and cut them in half. Place a chopstick either side of the zucchini (using it to prevent you from slicing all the way through) and slice each piece of zucchini into 5mm/0.25in sections.
Place the sliced zucchini onto the prepared cookie sheet and bake for 10 minutes, until the slices are starting to separate.
Remove from the oven, sprinkle the zucchinis with salt and pepper, and gently stuff the bacon and cheddar cheese between the slices.
Bake for another 10-12 minutes until the cheese is melted and browned.
Serve the Hasselback zucchini topped with sour cream and chives.