Remove stems from mushrooms. Cut a thin layer from the top of mushroom caps; cut mushroom edges, forming a hexagon shape. Cut zucchini lengthwise into quarters, then into 2-in. pieces. Trim one end to fit into mushroom caps.
Insert a toothpick through the top of the mushroom into the zucchini, leaving about 1 in. of toothpick to use as a handle for dipping.
In a small shallow bowl, beat the eggs and water. In another bowl, combine the flour, chili powder, salt, sugar, garlic powder, cayenne and cumin. Dip zucchini-mushroom bolts in egg mixture, then coat with flour mixture.
In an electric skillet, heat 1 in. of oil to 375°. Fry bolts in batches for 2-3 minutes or until golden brown on all sides. Drain on paper towels. Serve warm with sweet-and-sour sauce if desired.