Heat oven to 200C/180C fan/gas 6 and dust a baking sheet with a little flour. Place a box grater on top of a clean tea towel and coarsely grate the courgettes. Lift the corners of the tea towel and, holding it over the sink, twist to compact the courgettes and squeeze out as much liquid as you can.
Put the flour, oats, bicarb and 1 tsp fine salt in a large bowl. Add most of the cheddar (save a little for the top), the thyme and the courgette. Mix the buttermilk and honey, then pour into the flour mixture. Stir with a wooden spoon until the dough starts to clump together, then tip onto a work surface and knead briefly to bring all the loose bits together – try not to overwork the dough or the bread will be heavy.
Shape into a round loaf and place on the baking sheet. Brush with egg and sprinkle with the remaining cheese. Use a sharp knife to score a deep cross on top of the loaf, then bake for 40 mins until deep golden brown. Best served warm, but leftovers will keep for 1-2 days.