Rub cut squash all over with oil – including the skin – and place cut side down on a parchment-lined rimmed baking sheet. Bake in oven until tender while preparing filling, about 30 minutes. Remove from oven and cool slightly before turning over.
In deep skillet, brown sausage meat, breaking meat into small pieces with the back of a wooden spoon. Transfer to plate. Add onion and red pepper to the skillet and cook until onion is tender and browned, about 7 minutes. Stir in rice and cook until rice is coated, about 2 minutes. Stir in broth, scraping any brown bits from the bottom of the pan. Bring to boil, reduce heat to low, cover and simmer until most of the liquid has been absorbed, about 45 minutes. Stir in sausage, parsley and crumbled goat cheese and divide rice mixture evenly over the squash, packing slightly.
Return to oven until heated through, about 15 minutes. Serve with a crisp green salad.