Halve squash lengthwise; remove seeds. Place squash halves, cut side down, on a large parchment paper-lined baking sheet. Bake in a preheated 400°F (200°C) oven until squash is tender when flesh is pierced, 40 to 45 minutes.
Meanwhile, heat a large skillet over medium heat; add oil. Fry onion, celery and apple until beginning to soften, about 3 minutes. Add sausage, sage, salt and pepper; cook, stirring often and breaking up sausage with spoon, until sausage is cooked through and crumbled, 8 to 10 minutes. Remove from heat; stir in croutons, half of the cheese and the walnuts, if using.
Turn squash halves over to be cut side up. Divide and spoon sausage filling into squash halves; sprinkle with remaining cheese. Return to a 400°F (200°C) oven and bake until cheese is bubbly and golden, about 15 minutes.
Per serving: 361 calories, 22 g protein, 11 g fat (4 g saturated fat), 47 g carbohydrates, 7 g fibre, 71 mg cholesterol, 510 mg sodium