Preheat your oven to 350F and line a baking tray with parchment paper.
Cut the zucchini in half lengthwise, then scoop out the insides and save for another use.
Place the zucchini into the prepared baking tray, and spray with cooking oil. Season with salt and pepper to taste, then place into the middle rack of the oven and bake for 12-15 minutes, or until just tender.
In a mixing bowl, add tuna, celery, red onion, yogurt, dill, mustard, lemon juice, and jalapeño. Mix until combined, then taste and season with salt and pepper as needed.
Stuff the zucchini with the tuna mixture then sprinkle with cheddar.
Continue to bake in the preheated oven for about 10 minutes, or until cheese is melted. Enjoy!