Preheat oven to 350 degrees. Spray a baking dish with nonstick cooking spray.
Cut zucchini in half lengthwise. Place cut side down in a microwave-safe baking dish and microwave on HIGH for 2 to 3 minutes or until almost tender. Scoop out pulp leaving about 1 1/4-inch thick shell. Set shells aside. Finely chop pulp and set aside.
In a medium saucepan, saute onion in hot oil until tender, but not brown. Add chopped zucchini pulp and cook for 1 minute. Stir in flour, basil and pepper. Add milk and, stirring constantly, cook mixture until thick and bubbly. At this consistency, cook and stir for 1 additional minute.
Very slowly spoon 3 or 4 tablespoons of zucchini mixture into beaten egg, beating vigorously to keep egg from curdling, then pour egg mixture very slowly into remaining bulk of zucchini mixture, stirring constantly. DO NOT ALLOW THIS TO BOIL as mixture will curdle. Add well-drained sausage and parmesan cheese and stir well to blend,
Spoon mixture into zucchini shells and place in prepared baking dish. Bake, uncovered in preheated oven for 25 to 30 minutes or until filling is lightly browned. Makes 4 servings. Enjoy!