We have found a few about 2″ long yellow squash that was covered with a fuzzy blackish grey fungus and that was totally rotten. The quote below and links clearly identify it as Chaonephora fruit rot and those and other advice says there is no treatment other than to open up the leaf canopy. We did that today.
Next year the squash should be more widely spaced to allow air flow and the cucumber should not be close.
Chaonephora fruit rot is also known as blossom blight and travels through the air, infecting plants and garden soil. This fungus attacks during wet humid weather. As the yellow squash begins to rot, a whiskery black fungal growth engulfs the fruit. To discourage this fungus, reduce the humidity around the squash plant and do not overcrowd the plants. Creating an open foliage plant is simply done by removing a few of the cramped stalks to improve air circulation. Better air movement dries the soil and leaves fast enough to retard the progress of fungal spore infection.
https://homeguides.sfgate.com/yellow-squash-rot-vine-54783.html
See Louisiana Extension Service paper here – https://www.lsu.edu/agriculture/plant/extension/hcpl-publications/pub-3476-Plant-Disease-ID-and-MGMT-ChoanephoraFlowerandFruitRot_FINAL.pdf
