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Preheat the oven to 400F/200C.
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Place the shredded bread and milk in a small bowl.
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Place the zucchini in a steamer basket inside a large pot over 1 inch of water, cover, and steal for about five minutes, until al dente. Remove, cool slightly, trim off the root and stem ends and cut the zucchini in half to form two cylinders.
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Using a teaspoon, carefully hollow out each cylinder, removing the pulp and setting it aside in a bowl, but leaving the base of each cylinder in tact, so that there is one closed end that will prevent the filling from falling out.
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Chop the pulp, squeeze out the excess liquid by pressing in the palms of your hand, and set aside. Add the mushrooms and their soaking liquid. In a large heavy skillet over medium heat, warm the olive oil and saute the chopped onion for about 8 minutes, until soft and just turning golden. Stir in the chopped garlic and the mushrooms. Cook all together for about 5 minutes. Add the zucchini pulp and stir for another 2 – 3 minutes, to cook off any excess liquid.
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Mix in the bread, herbs, salt and pepper. Mix in all but 3 tablespoons of the grated cheese. Fill the zucchini cylinders with the mixture, place in an oiled baking dish, and sprinkle with remaining grated cheese. Bake for about a half hour, until tender but al dente. Serve warm.