Preheat oven to 350 degrees.
Coat a shallow baking dish with olive oil; set aside. Scoop out the seeds and flesh of the halved zucchini; chop the flesh and set aside. Place zucchini shells in the prepared baking dish.
Heat 1 tablespoon of olive oil in a large skillet over medium-high heat; add onion and sauté for 5 minutes; add garlic and sauté for 2 minutes. Stir in chopped zucchini and sliced mushrooms; sauté for 5 minutes. Add chili powder, cumin, lemon juice, cilantro and pepper; blend well.
Spoon mixture into zucchini shells and bake for 30 minutes or until zucchini are tender.