Preheat oven to 425 degrees.
Prepare Zucchini: Boil zucchini for 5 minutes in salted water. Drain and blanch in cold water for 2 minutes. Cut zucchinis in half lengthwise and scoop out flesh. Chop flesh and set aside. Arrange zucchini "boats" in baking dish sprayed with nonstick cooking spray.
Prepare Filling: Chop pepper and shrimp. Melt butter in a saucepan over high heat. Sauté pepper for 2 - 3 minutes. Add chopped zucchini, shrimp, paprika, salt, and pepper. Cook an additional 2 - 3 minutes. Spoon mixture into zucchini boats.
Prepare Mornay Sauce: Melt butter in a saucepan over high heat. Stir in flour. Remove from heat when foamy and stir in milk. Bring to a boil and keep stirring mixture for about 2 minutes until thick. Remove from heat and stir in cheeses and dijon mustard. Spoon sauce over filled zucchini halves and sprinkle with remaining 1 tablespoon parmesan cheese. Bake for 10 - 12 minutes.