Coat grill rack with nonstick cooking spray. Preheat grill to medium direct heat. Meanwhile, cut squash lengthwise into halves. With spoon, scoop out pulp, leaving at least 1/2 inch shell; set aside. Coarsely chop pulp. Cook bacon in medium skillet over medium heat until browned. Add onion and celery; cook and stir 2 minutes. Stir in squash pulp; cook and stir 1 minute. Remove from heat; set aside.
Stir in bread crumbs, cheese, and thyme. Spoon filling evenly into squash shells; pressing lightly. Place on grill. Grill covered, 7 to 11 minutes or until squash is tender and filling is hot.