Place an oven rack in the center of the oven. Preheat the oven to 400 degrees F. Spray 2 heavy baking sheets with vegetable oil cooking spray.
In a small bowl, combine the bread and milk. Set aside to allow the bread to absorb the milk, about 15 minutes.
For the vegetables: Using a melon baller, remove the flesh from the zucchini, leaving a 1/2-inch border around the edges. Reserve the flesh. Place the zucchini and peppers, hollowed-out sides up, on the prepared baking sheets. Season with the salt and pepper.
For the filling: Place the zucchini flesh in a food processor. Add the garlic, carrot, celery, shallot, oregano, salt and pepper. Blend until all the vegetables are finely chopped.
In a medium nonstick skillet, heat the oil over high heat. Add the blended vegetable mixture and cook, stirring occasionally, for 5 minutes. Add the wine and cook until all the liquid has evaporated, about 5 minutes. Set aside to cool.
In a medium bowl, combine the cooked vegetables, turkey, egg, 1 cup Parmesan and the bread mixture. Using a wooden spoon, mix the ingredients until well combined. Spoon the filling into the hollowed-out vegetables. Sprinkle the remaining 1/2 cup Parmesan on top of the filling. Drizzle with olive oil and bake until the vegetables are tender and the tops are golden brown, 45 to 50 minutes. Transfer the vegetables to a platter and serve.