Drizzle a little bit of olive oil over the calabaza. Season with salt and pepper, and roast in the oven until tender, about 1/2 hour.
In a large stockpot, heat 1/4 cup olive oil and saute onions, green pepper, red pepper, and garlic. Cook for about 8 minutes or until caramelized. Add the tomatoes and cook for 3 more minutes.
Deglaze with white wine. Add chicken stock and heavy cream and the roasted calabaza. Add the thyme. Bring to a boil. Simmer about 20 minutes. Puree all the ingredients. Strain the soup and adjust the seasonings. Garnish with vanilla-flavored whipped cream, if desired.