1. Preheat oven to 400 degrees. Halve each squash lengthwise; slice off a sliver of skin from each half so they sit flat. Scoop out flesh with a small spoon, leaving a 1/4-inch border; chop finely, and reserve. Place squash halves on a rimmed baking sheet, skin sides down; set aside.
2. Heat the oil in a large skillet over medium-high heat. Add reserved chopped squash, onion, almonds, 1 teaspoon salt, and 1/4 teaspoon pepper. Cook, stirring frequently, until mixture is dry, 5 to 7 minutes.
3. Add bulgur and 2 cups water; simmer over medium head until liquid is absorbed, 10 to 12 minutes (bulgur should still be slightly crunchy). Remove from heat; stir in feta.
4. Mound bulgur mixture in reserved squash halves. Bake until squash is tender, 25 to 30 minutes. Serve with lemon wedges.