Heat the oven to 425°F. Toss squash with oil and 1/4 teaspoon salt and roast on a sheet pan for 25 to 30 minutes until very tender. Mash smooth and cool for 10 minutes.
Meanwhile, boil shells in water with the tablespoon salt until 3 minutes short of the package time, then drain gently and separate on a plate. Lower the oven to 375°F.
Mix cooled squash with ricotta, egg, 1/4 cup Parmesan, 1/4 teaspoon salt, pepper and nutmeg. Melt butter in a saucepan and stir in flour for 1 minute.
Gradually whisk milk into the butter mixture and simmer for 3 minutes until lightly thickened. Stir in sage and remaining 1/4 teaspoon salt; spread 1/2 cup sauce in a deep 9-by-13-inch baking dish.
Fill the 24 shells evenly with squash mixture and arrange open-side up in the dish. Spoon remaining sauce around and partly over the shells, then scatter with mozzarella and remaining Parmesan.
Cover with foil and bake for 25 minutes. Uncover for 10 minutes until lightly browned and the filling reaches 165°F, then rest for 10 minutes; serve 3 shells per person.