Pre-heat the oven to 375 degrees F. If the spaghetti squash is too hard to cut, place the whole squash on a parchment or foil lined baking pan with some cooking spray and roast until just beginning to soften, about 15 minutes. Alternatively, you can put the squash in the microwave and soften it in 3-4 minutes. Let it cool a bit and then cut the squash into 1 1/2 inch rounds, discarding the top and bottom ends. Scrape away the seeds from each round, using a spoon.
Coat the squash rings in cooking spray and place on the baking sheet covered with parchment paper or foil, and coated with cooking spray. Bake until "al dente" or until tender but with a little bite, about 30 minutes. Let the rounds cool and then carefully remove the strands from the skin. This method will ensure the squash stays in strands and has texture to hold the sauce.
Heat a large non-stick skillet over medium heat. Add the butter and olive oil. Add the shrimp and cook until pink and just cooked through, about 3-4 minutes. Add the spinach and stir until wilted. Add the spaghetti squash strands to the pan and season with salt and pepper, adding more oil or butter as needed. Turn off the heat and add the lemon zest and fresh lemon juice and toss gently to combine. Garnish with the freshly grated Parmesan cheese.