Place the squash into the air fryer basket, and cook for 25-30 minutes. Remove and let sit for a couple of minutes. Cut off the top of the kabocha squash, scoop out the seeds, and pulp with a spoon.
Drizzle the inside of the squash with olive oil, salt, and black pepper. Prepare the stuffing. In a large skillet, heat some olive oil over medium heat.
Add the chopped onion and minced garlic to the skillet and sauté until the onion is translucent. Add the spinach and bell pepper to the skillet and sauté until wilted. Season the spinach with salt, black pepper, and nutmeg to taste.
Combine the kabocha pulp with the onion and spinach stuffing in a medium bowl. Stuff the spinach and cheese mixture into the cavity and top with parmesan cheese.
Return the stuffed squash to the air fryer and set the cooking time for 5-7 minutes or until the cheese is melted and bubbly.
Garnish with chopped fresh parsley, if desired.