Preheat the oven to 400°F. Boil the zucchinis in a large saucepan in salted water for 5 to 10 minutes, depending on the size. Drain and place in cool water, set aside.
To make the sauce, melt the butter in a medium pan, stir in the flour to make a smooth paste, then quickly whisk in the hot milk and cook for 2 or 3 minutes longer until thickened. Add the nutmeg, parmesan cheese and salt and pepper to taste, and whisk until smooth.
Dry the cooled zucchini with paper towels, trim off both ends, and slice in half lengthwise. Scoop out the pulp with a small spoon, leaving a 1/4" thick shell. Chop the pulp, ham, and parsley in a food processor, then add it all to a bowl, and mix in the bread crumbs and white sauce. Taste and adjust seasonings.
Stuff the zucchinis, place on a parchment lined baking sheet, sprinkle with the remaining parmesan cheese, and bake for 15 to 20 minutes until lightly golden and crusty.