Mix zucchini, celery, onion, and mushrooms in a microwave-safe dish. Cover dish with plastic wrap.

Cook on High until vegetables are steamed and slightly tender, about 5 to 6 minutes.

Pull plastic wrap away from dish, stir vegetables, sprinkle Cheddar cheese over vegetables, and replace the plastic to seal tightly. Let dish sit until the cheese melts; stir vegetables to coat evenly with melted cheese.