Preheat the oven to 375 degrees . Using a small spoon, scoop out the zucchini flesh, leaving a 1/4- to 1/2-inch-thick shell. Wrap the zucchini flesh in a paper towel and squeeze out any excess liquid; discard the liquid and set aside the flesh. Place the zucchini shells cut side down on a baking sheet and bake for 15 minutes.
Meanwhile, in a large skillet, heat 2 tablespoons olive oil over high heat. Add the zucchini flesh and onion and cook, stirring, until softened, about 5 minutes. Add the tomatoes and cook until softened, about 5 minutes. Push the vegetables to the side of the pan, add the remaining 1 tablespoon oil and the bread crumbs, and toast the bread crumbs for 2 minutes. Remove from the heat, stir in the nuts and oregano, then combine with the vegetables; season with salt and pepper.
Flip over the zucchini shells and line the bottoms with the mozzarella. Pack in the filling. Sprinkle the parmesan on top. Bake until the zucchini is tender when pierced with a fork, 20 to 25 minutes.