Place whole squash in a medium saucepan with boiling salted water to cover. Cook 10 minutes or until squash is tender. Drain well; cool slightly.
Cut a lengthwise slice from the top of each squash; remove and reserve pulp, leaving a firm shell. Mash pulp, and set aside.
Sauté onion in drippings over medium heat until tender. Remove from heat; add whipping cream, salt, pepper, Worcestershire sauce, and reserved squash pulp, stirring well.
Place squash shells in a lightly greased 13- x 9- x 2-inch baking dish. Spoon squash mixture into shells. Bake, uncovered, at 400° for 10 minutes. Combine breadcrumbs, cheese, and melted butter; stir well. Spoon cheese mixture evenly over each squash. Return to oven, and continue baking 5 minutes or until cheese melts. Sprinkle with paprika.