Preheat oven to 400°F and lightly coat a baking dish with nonstick spray.
Slice zucchini in half lengthwise and scoop out centers, reserving the flesh into a bowl. Place zucchini into baking dish.
Cut chicken into small pieces. Lightly coat a saute pan with nonstick spray and cook chicken over medium-high heat until cooked through and starting to brown. Add onion and reserved zucchini flesh and continue to cook for 1 minute.
Mix together chili powder, cumin, paprika, oregano, and salt, and sprinkle over chicken. Stir to coat and cook for 2 minutes. Stir in tomato sauce or salsa and let simmer for 5-10 minutes, until thickened.
Divide chicken mixture into zucchini (you might have extra filling) and top with cheese.