This texture is likely powdery mildew. Powdery mildew is, unfortunately, pretty common in squash plants. The good news is that the fruit is still edible, but you should wash it before eating to eliminate any residual powder. You can also peel your zucchini to remove all of the powder. To prevent powdery mildew from returning, try to increase air circulation around your plant by thinning the leaves. You can also try spraying the leaves with a fungicide if the problem persists.