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HEAT oven to 450ºF.
WHISK egg and water in pie plate. Place cracker crumbs in separate pie plate. Dip zucchini wedges, 1 at a time, in egg then in crumbs, turning to evenly coat each wedge.
PLACE on foil-covered baking sheet.
BAKE 14 min. or until zucchini fries are tender, tuning after 7 min. Heat broiler. Broil fries, 6 inches from heat, 2 min. or until golden brown. Serve with mayonnaise.