Place squash halves cut side down in baking pans. Fill pans with about 1/2 inch water. Bake squash 40 minutes in the preheated oven, or until tender.
While squash bakes, heat the oil in a skillet over medium heat. Place onions and celery in the skillet, and cook until tender. Stir in the sausage and thyme. Cook and stir until evenly brown.
Remove squash from the oven, and carefully scrape the pulp from the rinds. Set rinds aside. Place the pulp in a bowl, and mash with a potato masher. Mix in the cooked sausage mixture, egg, bread crumbs, raisins, and pecans. Scoop into the reserved rinds. Set stuffed squash in the baking dishes.
Bake 25 minutes in the 350 degrees F (175 degrees C) oven, until heated through.