Preheat oven to 350 degrees F (175 degrees C). Lightly spray a 13x9-inch baking dish with cooking spray.
Scoop seeds from zucchini halves; set aside.
Bring a pot of water to a boil. Add zucchini halves and cook until slightly tender, about 3 minutes. Transfer zucchini halves to prepared baking dish and set aside to cool.
Heat olive oil in a skillet over high heat. Once oil is hot, reduce heat to medium-low. Cook and stir zucchini seeds and onion in hot oil until the onion is translucent, about 5 minutes. Stir tomato sauce into the onion mixture; season with Italian seasoning, salt, and black pepper. Cook the mixture at a simmer until the sauce begins to thicken, about 20 minutes. Transfer the mixture to a mixing bowl and allow to cool slightly.
Mix egg into the tomato sauce mixture; spoon into zucchini halves to fill. Sprinkle Parmesan cheese over the filling.
Bake in preheated oven until the filling is firm, 15 to 20 minutes.