Heat oven to 400 degrees. Trim ends of zucchini and halve them lengthwise. Using a spoon, or melon baller scoop out flesh from each half, leaving 1/4-inch thick shell. Reserve zucchini boats and flesh.
Boil potato until tender. When cool enough to handle, peel and mash potato in a potato ricer into a small bowl. Add reserved zucchini flesh, Parmesan, egg and nutmeg. Season to taste with salt and pepper. Mound potato mixture into each zucchini boat. Fill only as high as walls of zucchini, or a little above. Use a brush to smear pesto over each. Fit zucchini snugly into an oiled baking dish. Pour enough water to reach 1/4-inch up sides of zucchini, cover tightly with foil and bake 20 minutes. Remove foil and continue cooking 25 minutes more. Let cool to room temperature. Before serving, drizzle each zucchini boat with extra-virgin olive oil. Serve 2 zucchini per person.