Combine bulgur and boiling water in a bowl; stir well. Cover and let stand 30 minutes.
Preheat oven to 375°.
Cut each zucchini in half lengthwise; scoop out pulp, leaving a 1/4-inch-thick shell, and set shells aside. Chop pulp to measure 1 1/2 cups.
Heat oil in a large nonstick skillet over medium heat. Add 1 1/2 cups zucchini pulp, onion, cumin, and garlic; sauté 1 minute. Add bulgur, cheese, and next 6 ingredients (cheese through pepper); stir well.
Spoon 1/3 cup bulgur mixture into each zucchini shell, and place in a 13 x 9-inch baking dish. Cover and bake at 375° for 25 minutes.
Note: To make a Zucchini-Bulgur Bake, replace zucchini pulp with 1 1/2 cups peeled, chopped zucchini. Spoon bulgur mixture into a 1-quart casserole instead of shells. Cover and bake at 375° for 25 minutes.