Preheat oven to 350 degrees. Spray a 2-quart square baking dish with 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 a 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, then, stirring constantly, cook mixture until thick and bubbly. Once thickened, cook and stir an additional minute.
Very slowly spoon 3 or 4 tablespoons of zucchini pulp mixture into beaten egg, beating vigorously to keep egg from curdling. Remove saucepan from heat. Then, pour egg mixture back into the remaining bulk of the zucchini mixture, stirring constantly. DO NOT ALLOW MIXTURE TO BOIL, as it will curdle. Stir in Parmesan cheese until well blended.
Spoon mixture into zucchini shells and place in the prepared baking dish. Bake, uncovered, in a preheated 350 degree oven for 25 to 30 minutes, or until filling is lightly browned. Makes 4 side-dish servings. Enjoy!