Prepare the pumpkin: Preheat the oven to 375°F. Cut a circle about 3 inches down from the stem of the pumpkin to form a lid. Scoop out the seeds and clean away the fibers. Lightly salt and pepper the inside of the pumpkin and add the mace. Replace the lid to fit. Lightly rub the exterior of the pumpkin with vegetable oil and place on a well-oiled baking pan. Bake for 40 minutes, or until the interior flesh is almost tender and the exterior still firm. Do not overcook. Check by pressing your finger near the base of the pumpkin.
Remove the pumpkin from the oven and discard the lid. Using a bulb baster, extract and discard the liquid from inside the pumpkin. Cover the pumpkin shell with foil.
Prepare the filling: In a large bowl, toss the shrimp with 2 tablespoons of the olive oil and season with salt and pepper. Set aside.
In a large deep saucepan, heat the remaining 2 tablespoons oil over medium heat. Add the onions and sauté until translucent, about 5 minutes.
In a medium saucepan, cook the tomatoes over medium heat until the liquid evaporates, about 10 minutes.
Add the shrimp to the onion mixture and cook until the shrimp turn pink, about 3 minutes. Stir in the tomato mixture and cook for another minute. Add the mascarpone and cream cheese and stir until melted. Add the cilantro and taste for sea-sonmg.
Raise the oven temperature to 500°F. The oven must be very hot. Check the well of the pumpkin again and remove any juice that may have collected. Pour the shrimp mixture into the pumpkin. Mix the oregano with the Parmesan cheese and sprinkle over the shrimp mixture.
Bake 10 to 12 minutes, or until the mixture bubbles lightly and the gratin is browned. Slide a wide spatula under the pumpkin, loosen gently, and carefully transfer to a warm serving platter.
To serve, scoop out some of the pumpkin meat with the shrimp mixture and accompany with boiled white rice.