Preheat oven to 350ºF. Drizzle a large baking dish with oil. Scrape seeds and soft flesh from zucchini and reserve ¼ cup. Place zucchini, cut sides up, in baking dish.
Heat oil in a large skillet over medium-high heat; add sausage and onion. Cook, breaking up sausage, until sausage is browned and onion is softened, about 5 minutes. Add garlic and reserved zucchini; cook until garlic is fragrant, about 1 minute. Remove from heat; stir in remaining ingredients.
Divide mixture among zucchini. Bake until filling is firm and each zucchini is tender and wrinkled around edges, 35 to 40 minutes. Garnish with Parmesan shavings. MAKE AHEAD TIP: These can be assembled a day ahead and refrigerated. Remove them from the refrigerator 30 minutes before baking.
