Preheat oven to 450F. Trim off the ends of each zucchini. Cut each in half crosswise. Cut each piece in half lengthwise. Scoop out the centers, leaving a shell at least 1/4-inch thick. Reserve and finely chop the scooped-out portions. There should be about 1-1/2 cups. Pour enough water to cover the shells into a saucepan and boil.
Add the shells and simmer 2 minutes. Drain thoroughly. Clean and finely chop mushrooms. There should be about 2 cups. Heat butter in heavy skillet and add onions and garlic. Cook briefly, stirring, and add mushrooms and lemon juice. Stir and cook one minute. Add the chopped zucchini, thyme, salt and pepper. Cook about 3 minutes until the excess moisture evaporates.
Spoon and scrape the mixture into a mixing bowl and let cool slightly. Add 1 cup of the bread crumbs, the parsley, 2 tablespoons of the cheese and blend thoroughly. Stir in the egg yolk.
With 1 tablespoon of the oil, brush the inside of a baking dish big enough to hold the shells in one layer. Spoon an equal portion of the filling into each shell and smooth over the top. Blend the remaining 2 tablespoons bread crumbs with the remaining 2 tablespoons cheese and sprinkle over the top of the stuffed zucchini boats. Sprinkle evenly with the remaining 2 tablespoons oil.
Place the dish in the oven and bake 25 minutes. Serve immediately.
NOTE: Cut the finished zucchini in half to serve more people before "saucing".