Cut zucchini lengthwise. Cut a flat spot on the bottom of the zucchini if necessary to sit level. Use the end of a spoon to scoop a ½" wide x ½" deep well of zucchini out of the center. Discard.
Mix cooked ground beef, sauce, bread crumbs, egg and salt and pepper together. Spoon a small amount into each zucchini. Top with cheese.
Place zucchini onto foil. Wrap it gently around the edges of the zucchini. Place on a preheated grill and cook for 10-12 minutes or until desired doneness. I like mine soft with a bit of crunch.
Remove from grill and serve whole or slice into bite size pieces to enjoy as a finger food.