Preheat your oven to 400°F (200°C).
Place the squash cubes on a baking sheet. Drizzle with olive oil. Sprinkle with salt and pepper.
Roast for 35–40 minutes, stirring once, until the squash is soft and lightly browned.
In a large pot, cook the chopped onion over medium heat for 5–6 minutes until soft.
Add garlic. Cook for 30 seconds until fragrant.
Add the roasted squash, vegetable broth, smoked paprika, and nutmeg.
Simmer for 10 minutes.
Blend until smooth using an immersion blender or countertop blender.
Stir in coconut milk if using. Taste and adjust salt.