To make the dough: Mound the flours together on a flat work surface, and make a large well in the center. Crack the egg into the well, add a pinch of salt and whisk the egg with a fork, incorporating flour from the well as needed. Once a dough starts to form, use your hands and knead, adding a little water if dough is too dry. When the dough is smooth and elastic, let rest for 30 minutes.

In the meantime, boil the peeled chestnuts in salted water. Add the bay leaves and 1 shallot cut in half. When tender, drain, remove bay leaves and pass the chestnuts through a ricer or purée them in a blender. In a medium-sized bowl, combine the chestnut purée with the minced prosciutto, salt, pepper and about ¼ cup Grana Padano.

Roll the dough into a thin layer, lay it on a clean dishcloth, sprinkle it with grated Grana Padano and cover it with the slices of zucchini. Fill a large-tipped pastry bag with the prosciutto/chestnut mixture and pipe a thick strip of stuffing near one edge of the dough and across the zucchini strips. Roll up the dough, then cut the roll into 2-inch pieces.

Preheat oven to 425°.

Chop the remaining shallot and sauté it in butter over medium-high heat. Add the milk and fontina cheese. Place rolls on a baking dish, top with the sauce and some Grana Padano to taste, and bake for about 10 minutes.