Heat the oil in a small pot, or a cast-iron skillet over medium heat. Add onion, carrots, and ½ teaspoon salt and cook for 5-6 minutes, or until the onion is translucent.
Next, add the chopped tomatoes, smoked paprika, lentils, salt, black pepper, and water and bring to a boil. Cook for 10 minutes or until no more liquid remains.
Slice zucchinis in half length-wise. Use a melon spoon or regular spoon to scoop out the seeds. Then, fill them with the lentils mixture. Bake for 25-30 minutes.
In the last 5-10 minutes, take the zucchini boats out of the oven and top them with cheese. Continue baking until the cheese is golden. Serve either warm or cold.