Discard the bottoms and tips of the zucchini then slice in half width wise. Then slice each piece lengthwise to get 16 pieces in total.
Use a knife or teaspoon to carve out the middle part of each piece of zucchini to create a hollow section for the stuffing.
Roughly chop any zucchini you scooped out then transfer into a bowl. Add tuna, egg, grated Parmesan, olives, capers and parsley. Season with salt and pepper then stir well with a fork to break up the tuna.
Preheat the oven to 200 degrees C.
Brush a baking dish with a little olive oil. Arrange the zucchini slices, cut side up, in an even layer in the baking dish. Use a spoon to fill each zucchini with the tuna mix, pressing gently with your hands to make the stuffing compact. Sprinkle grated Parmesan cheese on top.
Bake in the preheated oven for 25 minutes, then place under the grill for 5 minutes to finishing browning on top.