Preheat oven to 475°.
Peel onions; cut 1/2 inch off top and bottom of onions. Place onions in a 13 x 9-inch baking dish coated with cooking spray; lightly coat onions with cooking spray. Sprinkle 1/4 teaspoon salt and 1/8 teaspoon pepper over onions. Bake at 475° for 40 minutes or until golden. Cool to room temperature. Remove and discard core from each onion, leaving a 1-inch-thick shell.
Combine water and oil in a saucepan; bring to boil. Pour over bulgur in a large bowl; cover and let stand 30 minutes. Stir in 1/4 teaspoon salt, 1/8 teaspoon pepper, cucumber, and remaining ingredients. Spoon 1 cup bulgur mixture into each onion.