Wash the zucchinis, and cut them into roughly even slices, about 1 1/2 inches in length. Hollow out the slices using a spoon.
Dice onions, garlic and carrot into fine pieces and sauté them in olive oil. Halve the cherry tomatoes, chop the chili pepper into small bits and put them in a pot along with the bulgur and broth. Bring to a boil, then add Parmesan cheese, parsley and oregano.
Season the zucchini slices with salt and pepper, then fill with the bulgur stuffing. Top with more Parmesan and bake for 10 minutes.