HEAT oven to 350ºF.
BEAT cake mix, dry pudding mix and next 7 ingredients in large bowl with mixer until blended. Stir in zucchini and 2 tsp. zest; pour into 13x9-inch pan sprayed with cooking spray.
BAKE 34 to 36 min. or until toothpick inserted in center comes out clean. Cool completely in pan.
BEAT cream cheese, butter and remaining zest with mixer until light and fluffy. Gradually beat in powdered sugar; spread onto top of cake. Sprinkle with nuts. Refrigerate 1 hour.