Bake or boil the squash. To bake, halve the squash and scoop out the seeds. Place the squash halves cut side down on an oiled baking sheet and cover loosely with aluminum foil. Bake at 350 degrees until tender, about one hour. Scoop out the pulp and discard the skin. To boil, peel the squash, halve it, and scoop out the seeds. Cut it into chunks and place them in a saucepan with water to cover. Bring the water to a boil and cook until the squash is tender, about 15 minutes. Drain and reserve the liquid.
Meanwhile, saute the chopped onion in the oil with the nutmeg, cinnamon, thyme, and bay leaves until the onion is translucent. Add the diced carrot and celery and the water (if you boiled the squash, use the reserved liquid). Cover and simmer until the carrots are Tender. Remove the bay leaves.
In a blender or food processor, puree the cooked squash, the onioncarrot mixture, and the juices in batches. Gently reheat the soup. Add salt and pepper to taste.