Preheat oven to 375 degrees F. Slice the tough stem end off the delicata squash, then slice each squash in half lengthwise and scoop out the seeds. Place cut-side-up in a baking dish and lightly brush with olive oil on all sides. Sprinkle with salt and pepper. Roast squash for 30-35 minutes, until tender when pierced with a fork. Maintain oven temperature.
Bring 1 ¼ cups water to a boil in a small saucepan. Stir in the quinoa, reduce heat, cover, and simmer until liquid has been absorbed, 12-15 minutes. Remove from heat.
In a medium saucepan, heat 2 teaspoons olive oil over medium heat. Add the onion and cook, stirring occasionally, until soft, about 3 minutes. Stir in the garlic, chili powder, cumin, ¼ teaspoon salt, tomato sauce, and water, and cook at a low simmer for 5 minutes. Remove from the heat. Stir in the cooked quinoa, black beans, cilantro, and cheddar cheese.
Scoop the filling into the squash halves. Bake in the 375 degree oven for 10 minutes, until filling is heated through and squash is tender. Serve, topped with additional cheese and cilantro if desired.