In a heavy, 12 inch skillet heat 2 tablespoons of the oil over moderate heat for 1 minute. Saute the zucchini in batches until lightly browned on both sides, adding remaining oil as needed. With a slotted spatula transfer zucchini to a platter lined with paper towels. In the same skillet add 2 tablespoons of the butter over moderate heat. Add onion and garlic and saute, stirring for 1 minute. Add the lamb, oregano, salt, cinnamon, mutmeg and pepper. Cook uncovered, stirring occasion- ally, until the lamb is brown, about 7 minutes. Drain off fat. Heat oven to 350 degrees. In a small heavy saucepan melt the remaining butter over medium-low heat. Whisk in the flour and cook, stirring constantly, for 2 minutes. Gradually add the milk and egg, stirring constantly, until the sauce has thickened-3 to 4 minutes. In a greased, 13 X 9 X 2 inch baking dish arrange half of the zucchini in an even layer. Top with the lamb mixture and half of the feta cheese. Cover with the remaining zucchini and feta. Pour the sauce over all. Bake uncovered until golden and bubbling-50 minutes to 1 hour.