In a large skillet, add oil and place on stove over medium heat.
Peel and dice the onion, then add to the heated skillet. Stir to coat the onion with oil. Continue to stir occasionally while preparing the remaining ingredients.
Slice the bottoms off the mushroom stems, coarsely chop, and set aside.
Slice sweet pepper in half and remove top and seeds. Discard the top and seeds. Coarsely chop pepper and set aside.
When the onion begins to turn translucent, add sausage to the skillet.
Turn up heat to medium high and stir the sausage as it browns to break it into pieces.
While the sausage cooks, prepare zucchini boats by removing the ends of the zucchini and then slicing each in half lengthwise. With a spoon, scoop out some of the pulp from each zucchini half so that it forms a small boat with about 1/2" of the pulp remains in the peels.
Dice the removed pulp and set aside.
When sausage has just reached complete brown, add sweet peppers to the skillet, and continue to cook for one or two minutes until pepper begins to soften.
Turn off heat and add all the mushrooms, black olives, diced zucchini pulp, salt, and pepper to the skillet.
Stir skillet to mix thoroughly.
Add mayonnaise and 1/2 cup of the shredded cheese to the skillet and fold to thoroughly mix.
Spoon about half to three quarters of a cup of the sausage mixture into each zucchini boat.
Place zucchini boats on a greased 13x9 inch baking dish.
Bake, uncovered, at 350° for 20 minutes.
Sprinkle the remaining cheese over the top of each zucchini boat and return to the oven for a few minutes to melt and bubble the cheese.