While oven heats, line a sheet pan with foil or brush with some cooking oil. Slice zucchini in half lengthwise and place them cut-side up on the pan. Use a spoon to scoop out the center of each zucchini half, leaving ~1/2” / 1.3 cm thick shell on all sides (discard the center you scoop out or save it for another purpose). Cover sheet pan tightly with foil.
Transfer pan to heated oven and bake until zucchini halves are tender, 12 to 15 minutes.
While zucchini roasts, heat a saucepan over medium heat. Add oil and then sausage. Saute until sausage is starting to brown, 4 to 5 minutes.
Add bell peppers and saute until tender.
Add garlic, tomato paste, Cajun seasoning, and oregano. Saute for 2 more minutes.
Stir in crushed tomatoes. Simmer for 3 minutes to let the flavors come together.
Remove zucchini halves from oven.
Fill zucchini halves with sausage and sauce. Return to oven and continue baking for 5 minutes to let the flavors come together.