Preheat your oven to 400°F (200°C). Cut the acorn squashes in half from stem to tip and scoop out the seeds. Brush the flesh with olive oil and sprinkle with salt and pepper. Place the squash cut-side down on a baking sheet and roast for about 30 to 35 minutes, or until the flesh is tender when pierced with a fork.
While the squash is roasting, place a large skillet over medium-high heat. Add the ground sausage and cook, breaking it up with a spoon, until it is browned and cooked through. Use a slotted spoon to remove the sausage from the pan and set it aside, leaving the rendered fat in the skillet.
In the same skillet with the sausage drippings, add the diced onion and celery. Sauté for about 5 minutes until softened. Stir in the diced apples, minced garlic, and sage. Continue cooking for another 3 to 4 minutes until the apples are slightly tender but still hold their shape.
Return the cooked sausage to the skillet with the vegetables and apples. Stir in the panko breadcrumbs and half of the Parmesan cheese. Taste the mixture and add extra salt or pepper if needed. Remove from heat.
Flip the roasted squash halves so the cut side is facing up. Spoon the sausage mixture generously into the hollow of each squash. Sprinkle the remaining Parmesan cheese over the top. Return to the oven and bake for another 10 to 15 minutes, until the filling is heated through and the cheese is golden brown.