I have never seen a double-headed zucchini flower. EVER. Once, last summer, I had a two-headed zinnia grow in my garden. But alas, I did not take pictures of the flower so it remains an urban legend.
Note: this is not a developing zucchini "fruit" - it's merely one of the buds on the plant... can't wait to for the summer squash to ripen so I can make this.