Preheat your oven to 350°F. Prepare a baking dish and set it aside.
Hollow out the insides of the zucchini and save them for later.
Place the zucchini boats in the baking dish and drizzle with olive oil. Season with salt, pepper, and sprinkle thyme leaves on top. Bake for about 20 minutes, until tender.
In a large skillet over medium heat, melt the butter. Add the shrimp, season with salt and pepper, and cook until pink and cooked through, about 3 to 4 minutes.
Remove the shrimp from the heat and let cool. Chop into bite-size pieces.
Return the shrimp to the skillet. Stir in the reserved zucchini insides, tomatoes, and garlic. Cook until fragrant, about 1 minute.
Add the heavy cream, Parmesan, and lemon juice. Cook until slightly reduced, about 3 minutes.
Scoop the shrimp mixture into the zucchini boats, then top with shredded mozzarella.
Bake until the cheese is bubbly, about 10 minutes.
Garnish with more Parmesan and freshly chopped parsley. Serve and enjoy!