Preheat the oven to 425 degrees F. Lightly coat a rimmed baking sheet with cooking spray. Lay the asparagus on the sheet tray in a single layer. Drizzle the asparagus with the olive oil and season with salt and pepper. Make sure the asparagus is completely coated. Roast asparagus until it's just tender but still green in color, about 10-12 minutes depending on the thickness of the spears. Remove the tray from the oven and let the asparagus cool for a few minutes.

Lay the prosciutto slices on a cutting board and cut in half lengthwise. It's easier to wrap the asparagus with half of a slice. Wrap one slice of prosciutto around each asparagus spear, starting at the bottom, and spiraling up to the tip. Place the wrapped spears on the rimmed baking sheet. Sprinkle the asparagus with the lemon zest and parmesan cheese. Roast for another 3-5 minutes. Remove from the oven and serve warm.