Preheat the oven to 400 degrees F.
In a large bowl, beat the eggs with the milk, salt, and cheese.
Stir in the bread cubes, and let the bread soak while you cook the zucchini.
In a 12–inch nonstick skillet, over medium heat, heat the olive oil.
When it is hot, add the zucchini, onion, and scallions. Cook until softened, about 5 minutes.
Spread the vegetables out to cover the bottom of the skillet, and pour the eggs and bread over them.
Arrange the anchovies on top like spokes in a wheel.
Set the skillet with the frittata in the oven, and bake until the top is golden and the eggs are set, about 20 to 25 minutes.
Slide a paring knife around the edge of the skillet to help unmold if the frittata seems to be sticking.
Slide onto a cutting board, cut into slices, and serve.
