Preheat oven to 375 Â°F (190 Â°C).
Use spoon to hollow out zucchini shells. Chop zucchini flesh and set aside.
Place zucchini shells in saucepan containing salted, boiling water. Cook 4 minutes. Place saucepan under cold, running water to stop cooking process. Drain and dry zucchini shells. Arrange in greased baking dish.
Soak bread in milk for 3 minutes. Remove bread from bowl and squeeze out excess milk. Set bread aside.
Heat olive oil in frying pan over high heat. Add chopped zucchini flesh and season well. Cook 6 minutes over medium heat.
Add mushrooms and garlic; season and cook 7 minutes.
Mix in bread, then add cooked onion. Mix again and cook 3 minutes.
Divide mixture between zucchini shells and sprinkle with cheese. Cook 18 minutes in oven.