Add shallots; sauté 1 minute. Add all mushrooms; sauté for about 3 minutes and add wine. Continue cooking another 4-6 minutes until mushrooms begin to brown and liquid is absorbed. Stir in garlic; rosemary, and lemon peel, sauté 1 minute.
Remove from heat. Stir in cream. Season with salt and pepper. Cool. Mix in both cheeses and transfer to a baking dish.
Can be made 2 days ahead. Cover and refrigerate.
Preheat oven to 375°F. Bake for about 15-20 minutes until cheese is melted and mushrooms are heated through.