Place the squash on a baking sheet and spray with the olive oil spray and season with salt, pepper and nutmeg. Roast until tender and brown at the edges, 20 to 25 minutes.
Heat a soup pot over medium-high heat. Add a drizzle of oil and the sausage, cook until brown, then remove. Add the remaining oil, some black pepper, flour and paprika, and stir. Cook until brown and very fragrant, 20 minutes. Add the celery, onions and bell peppers, season with salt and pepper and soften, 5 minutes. Add the okra, thyme, garlic, bay leaf and chile peppers, stir a few minutes more. Add the stock, beer and tomatoes and the hot sauce, to taste. Add the sausage back to the gumbo, simmer to thicken, 20 to 30 minutes. Add the squash and stir to combine. Cool and store for a make-ahead meal. Reheat over medium heat. Serve in shallow bowls and top with the scallions.