[YeGoblynQueenne]

You might very well be right, but I think there's also a force of habbit behind it. Cucumber skins aren't tougher than zucchini skins (in Greece that is) and we never peel zucchinis, so we could leave the cucumber skins on, too. We just somehow... always take them off. Or almost always. I've had Greek salad with unpeeled cucumbers once or twice. But it looked a bit weird.