Preheat the oven to 400 degrees.
Slice each zucchini in half crosswise, and then slice each section lengthwise to create 8 small zucchini pieces.
Use a spoon to scoop the flesh out of the center of each zucchini section.
Heat the olive oil in a skillet over medium heat.
Stir in the onions and peppers, and saute until beginning to soften.
Mix in the shrimp, and season with the Old Bay. Saute until the shrimp are cooked through.
Cut the cream cheese into pieces, and add it to the skillet. Stir until the cream cheese is melted.
Add in the mayonnaise, worcestershire sauce, parmesan cheese and ½ of the colby jack cheese. Stir to combine well.
Place the zucchini boats into a 9x13 baking dish, and fill with the shrimp mixture.
Sprinkle with the remaining cheese.
Bake for 20-25 minutes, or until the zucchini is done to your liking.