Preheat oven to 400 degrees F or heat your outdoor grill.Slice off ends of zucchini and discard.Make slices in zucchini crosswise but don't cut through bottom of zucchini.Place zucchini on a foil lined baking pan.Brush zucchini with oil and bake 20 -25 minutes until tender or grill on medium high heat until tender but not too soft.Remove from oven or grill to cool slightly.Slice the cheddar cheese. Set aside.Cook the bacon until crisp and drain on paper towels. Once cool enough to handle, break into pieces.Insert a slice of cheese and piece of bacon into zucchini.Broil 3-5 minutes or grill covered for just a minute until cheese is melted.(Use aluminum foil on grill to catch cheese when it melts).Top with chives and Parmesan cheese if desired.Enjoy immediately.