Slice zucchini in half lengthwise; steam until barely tender.
Scoop out pulp and reserve.
Preheat oven to 350°.
Steam spinach until thoroughly hot; drain.
Gently stir in white sauce and pulp from zucchini, adding nutmeg and salt and pepper, if needed.
Spoon creamed spinach mixture into zucchini and sprinkle with Parmesan cheese.
Place on greased baking sheet or in a casserole.
Bake 30 minutes or until heated through.