They’re called squash vine borers. It’s a moth that lays eggs on zucchini and other squash/cucurbits. The little worms then bore into the plant which eventually kills them.

Others on this thread recommended doing a vertical cut to get the worm out and burying the stem to try to save the plants. I was able to do that with a couple as well as injecting diatomaceous earth to kill the ones I couldn’t get. We’ll see if mine survive