Preheat the oven to 350°F. Slice zucchini in half lengthwise, scooping out the seeds and part of the zucchini flesh. Leave about ¼-inch of zucchini along the skin of each halved squash.
Place the zucchini halves on a large baking sheet, drizzle with 1 tablespoon of oil and rub with your hands to coat. Season with ½ teaspoon salt and ¼ teaspoon pepper. Bake for 15 minutes.
While the zucchini is baking, start the filling. In a large skillet, melt 1 tablespoon of butter over medium-high heat. Add the bread crumbs and stir quickly to coat. Saute with stirring frequently for about 2 minutes, until toasted. Remove from the heat, transfer to a plate, and let cool.
In the same skillet over medium-high heat, cook and crumble the sausage. Add the onion and bell peppers to the skillet and cook for 3-4 minutes until it begins to soften. Add the pasta sauce and stir in half of each cheese.
Generously fill each zucchini half with the filling. Pile the filling on top to use all the filling. Top each zucchini with the remaining cheese and top with the toasted breadcrumbs.
Bake for 10 minutes, until the cheese has melted. Remove from the oven and sprinkle with parsley. Serve warm.