Trim ends from zucchini and half each length-wise. Scoop out flesh of zucchini; dice. Arrange zucchini shells into a baking dish.
Heat olive oil in a 10-inch skillet over medium heat. Cook and stir onion, mushrooms, and garlic in hot oil until the onion is tender, 5 to 7 minutes; season with salt and pepper.
Stir diced zucchini flesh into the onion mixture; cook and stir until hot, about 5 minutes. Spoon zucchini mixture into the shells in the baking dish; top each with 1 tablespoon each feta cheese and Parmesan cheese.
Bake in preheated oven until the zucchini shells are soft, 30 to 40 minutes.