I’ve never made a pie with zucchini, but my concern with cooking twice would be the moisture content more than the consistency. Water is going to start coming out and it would be your crust that would be mushy.
You don’t need to pre-cook apples when you make apple pie, and they’re maybe slightly more firm, so I don’t think I’d do that with the zucchini. I’d peel them and then either dice them smallish or cut them into slices maybe a quarter inch thick. Whatever you did with the jam is probably going to work out in a pie shell, except you might consider how sweet it should be.