Heat 1 tablespoon oil in heavy saucepan over medium heat. Add shallots; cook until tender. Add rice, broth, and 1 teaspoon Italian seasoning. Bring to a boil. Reduce heat to low, cover and simmer 50 minutes. Remove from heat and let stand, covered, 10 minutes.
Meanwhile, combine mushrooms and zucchini in shallow, rimmed baking sheet. Toss with remaining 2 tablespoons oil. Season with1 teaspoon Italian seasoning, salt, and pepper. Bake at 425° for 15 minutes, stirring once. Add tomatoes, bake another 5 minutes, or until vegetables are tender. Stir vegetables and olives into rice.
