Fill a large pot with about 1 inch of water and fit with a steamer basket; bring to a boil. Meanwhile, scoop out the seeds from the zucchini, leaving a 1/4-inch-thick shell. Season the zucchini with salt, then arrange in the steamer basket; cover and steam until crisp-tender, 5 minutes.
Combine the crabmeat, 1 tablespoon lemon juice, 2 tablespoons olive oil and 1/4 teaspoon salt in a medium bowl. In another bowl, combine the mayonnaise, mustard, 1 tablespoon lemon juice, the Worcestershire sauce, cayenne and 1/4 teaspoon salt.
Blot the zucchini dry with paper towels and brush with the remaining 1 tablespoon each olive oil and lemon juice. Fill with the crab mixture and top with the spicy mayonnaise. Sprinkle with paprika, celery leaves and scallions.