Line two rimmed baking sheets with aluminum foil, and spray with non-stick cooking spray, or lightly oil the foil. Divide the broccolini between the two baking sheet, and drizzle over the olive oil. Sprinkle the lemon pieces between the two sheets, season with salt and pepper, and toss to get everything well coated with the oil. Spread out the broccolini in single layer on both sheets.
Roast the broccolini in the oven for 15 minutes, on two racks, switching the sheets between the racks if you are cooking both batches at once. It should be lightly browned and crisped on the edges.
Remove from the oven and sprinkle over the lemon zest and Parmesan. Serve hot, warm, or room temperature.