Preheat oven to 425°F (220°C). In bowl, toss together squash (frozen product does not need to be thawed — or use fresh squash), shallots, broth, 2 tbsp (30 mL) oil, lemon juice, thyme and salt. Transfer to greased 8-in. (20- cm) square baking dish. In small bowl, toss together cheese, lemon zest, pepper and 1 tbsp (15 mL) oil; sprinkle over squash. Cover with foil. Bake 25 to 30 min. until squash is tender. Remove foil. Bake another 10 to 12 min., uncovered, until golden brown.
Meanwhile, line a baking sheet with parchment paper. Pat dry cod fillets with paper towel. Wrap each fillet with a slice of ham, securing with toothpick if needed. Place on prepared sheet. Brush wrapped fish with remaining oil. Bake in same oven as squash 8 to 10 min. until fish begins to flake and ham is crispy.
Sprinkle fish with parsley and serve with baked squash and lemon wedges for squeezing.
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