Preheat the oven to 400°F (200°C). Cut the spaghetti squash in half lengthwise and scoop out the seeds with a spoon.
Brush the cut flesh of each squash half with about 1 teaspoon of olive oil and season evenly with the salt and pepper.
Place the squash halves flesh-side down on a baking sheet and roast until the edges begin to brown and the flesh is tender, about 45 minutes.
About 10 minutes before the squash finishes roasting, heat the remaining olive oil in a large non-stick skillet over high heat.
Add the sliced bell pepper and sliced red onion to the hot skillet and cook, stirring, for 3–4 minutes until slightly charred and softened.
Add the shrimp and the fajita seasoning to the skillet and cook, stirring occasionally, until the shrimp turn pink and are opaque, about 3–4 minutes; then remove from heat.
When the squash is done, remove it from the oven and use a fork to scrape the flesh into spaghetti-like strands.
Transfer the scraped squash strands into the skillet with the cooked shrimp and vegetables and toss to combine evenly.
Divide the shrimp and squash mixture between the two squash shells, top each with shredded cheese, and return to the oven for about 5 minutes until the cheese melts and everything is heated through.
Remove from the oven and serve immediately.