Preheat the oven to 375ºF (191ºC). Scoop out the middle flesh of the zucchini and place flesh side up, in an oven-safe dish. Bake for 15 minutes.
Meanwhile, heat a skillet over medium heat and add the bell pepper, onion and mushrooms. Cook for 5 to 7 minutes, until cooked through. Whisk the eggs in a small bowl and add to the vegetables along with the sea salt. Cook for 3 to 4 minutes, until cooked through.
Transfer the egg and vegetable mixture to the scooped out part of the zucchini and place in the oven to cook for 5 more minutes. Remove and top with parsley and nutritional yeast, if using. Serve and enjoy!