Place the zucchinis in a large pot filled with water and cook over medium heat for about 5 - 8 minutes or until soft. Remove the zucchini, slice in half the long way, and allow to cool slightly . Scoop out the flesh from the zucchini halves, leaving a 1/2-inch shell.
In a skillet over medium heat add oil. When the oil is hot, add the onions and peppers, cook for 5 minutes. Add the tuna, diced tomatoes, tomato sauce, spices and bay leaf. Mix well and cook for about 5 minutes. Season with salt and pepper. Cover it, reduce heat to low and simmer for 10 minutes.
Preheat oven to 375ºF.
Place zucchini shells on a baking sheet. Lightly stuff the zucchini shells with the tuna mixture. Drizzle pecorino and mozzarella cheese over each stuffed zucchini half.
Bake for 15 minutes or until cheese is melted and lightly browned.