Heat the oven to 425F.
Halve the squash lengthwise, scoop out the seeds and drizzle with EVOO. Season with salt, pepper and a little fresh nutmeg; roast to just tender, 30-35 minutes. Remove and cool to handle.
Reduce oven heat to 375F.
Arrange bacon on a slotted pan and bake to crisp. Remove and chop.
Carefully scoop the flesh of the squash into a bowl, keeping the skins intact. Mash squash flesh with 1 cup of cheddar, 1 cup of Parm, all of the ricotta, thyme, sage and half the bacon. Adjust seasonings and stuff the shells with the mashed squash. Top with a sprinkle of remaining cheddar and Parm, and bake to golden on top.
Garnish with scallions or red onions and remaining bacon bits.