Cut zucchini in half lengthwise. Scoop out pulp, leaving a 1/4-in. shell. Chop pulp; set shells aside. In a nonstick skillet, saute the zucchini pulp, mushrooms and onion in butter for 3-4 minutes or until tender. Add wine or broth. Reduce heat; simmer, uncovered, for 10-12 minutes or until liquid has evaporated. Stir in salt and pepper.
Place zucchini shells in a saucepan and cover with water; bring to a boil. Cook for 2 minutes; drain. Fill shells with mushroom mixture. Sprinkle with cheese. Broil 3-4 inches from the heat for 3-4 minutes or until lightly browned.