Melt butter or olive oil in a large frying pan over medium heat (or medium-low to avoid burning!). Add onions and garlic. Cook, stirring occasionally, until onions are soft, about 3 minutes. Stir in sage and cook until fragrant, about 1 minute. Stir in the nuts and set aside to cool slightly.
In a large bowl, whisk together the yogurt, egg, and half of the cheese/parmesan. Stir in nut mixture. Divide stuffing among squash halves, garnish with the remaining cheese/parmesan, add cracked black pepper to taste, a light sprinkle of nutmeg and bake until tender when pierced with a fork and tops are browning, about 45 minutes.