Heat grill to high. Brush cut side of zucchini with 2 tablespoons of the oil and season with salt and pepper. Grill, cut-side down, until golden brown, about 2 to 3 minutes. Turn over and continue cooking until just cooked through. Remove from heat and cut into small dice.
Heat remaining oil in a medium saucepan on the grates of the grill or you can cook inside on the stove top. Add the onion and cook until soft. Add the garlic and cook for 1 minute. Add the corn kernels and cook for 5 minutes. Add the tomatoes, chile peppers, diced zucchini, and heavy cream and cook until the cream is reduced by half and begins to thicken.
Season with salt and pepper, to taste. Remove from the heat and add the cheese and cilantro.