Step 1Heat the oven to 425 degrees. Cut the zucchini lengthwise into thin slices and place in large bowl. Cut the eggplant and onion in half lengthwise, then crosswise into very thin slices and add to bowl. Add the garlic and half the basil. Drizzle with 4 tablespoons of the oil, then season to taste with salt and pepper. Toss until well mixed and coated.
Step 2Transfer the vegetables to 2 large baking sheets. Roast, stirring and turning every 5 minutes, until very soft, 25 to 35 minutes. Set aside to cool slightly.
Step 3Combine the tomatoes and anchovies with the remaining basil in a blender. Add 2 to 3 tablespoons olive oil and process until chunky, adding more oil to make a spreadable paste.
Step 4Slice the baguette lengthwise, leaving one side hinged. Hollow out the center of each side, leaving a retaining wall all around. Spread both sides lightly with the tomato- anchovy mixture. Carefully lay the roasted vegetable mixture evenly in the hollow. Lay the mozzarella in slices or in mounds over the vegetables.
Step 5Carefully close the top half of the bread. Using a spatula, press any protruding cheese or vegetables back into the sandwich. Wrap in waxed paper and tie at 2-inch intervals. Top the sandwich with cast-iron skillets or other heavy weights and let it stand at least 1 hour to compact. To serve, use serrated knife to cut into thick slices.