At the farmers' market, our favorite stall is run by a Hmong lady. She's always giving us unfamiliar (to us) veggies to try (the only one we didn't enjoy is bitter melon). The latest gift, she didn't have a name for (at least in english). It was about the size of a small, fat pickling cucumber, and the skin was patterned like a zucchini. It was light for it's weight (we thought it was going to be hollow), and the inside is sort of spongy like eggplant, with few if any seeds on the inside (they were obbviously there, but much smaller than either zucchini or cucumber). She recommeded stirfrying with chicken, but I roasted with asian eggplant. It was a similar texture to the eggplant, but maybe a little more like zucchini.
It looks very much like the fuzzy melon, though it was only about 2 inches long (could have been picked young) and was not fuzzy (but could have been scrubbed maybe).
I did sweat the bitter melon with salt, and rinsed it twice before cooking. I read that in some cultures, it is boiled 4 times to remove the bitterness (change of water each time), but that seems like most of the nutrients would be thrown out with the water. I know bitter melon is supposedly very good for diabetes and insulin resistance (hubby has the former, and I have the latter) so I might try it again some time.
No, I'm familar with okra, but we did wonder before we cut it if it was going to be hollow like okra because it was so light, but it was solid inside, and very little in the way of visible seeds. It looked very much like the photo in the link that mandalinn82 posted. It was fat around, so about 1.5 to 2 inches in diameter, and about 3 - 5 inches long, so they looked like a fat pickling cucumber. The ends on some of them were round like the photo, but a few were a little pointed instead, and the skin was smooth like a young zucchini or a cucumber without the prickles, there was no peach fuzz at all, and the coloration was just like the photo sort of mottled spotty stripes like some young zucchini. My guess it its either the fuzzy melon defuzzed, or a fuzzless variety of melon very similar to it.