Prick the sweet potato all over with a fork, and then wrap in foil. Bake until soft, about 45 minutes. Remove from the oven and let cool.
When cool enough to handle, halve the sweet potato and scoop out the flesh. Add the flesh to a food processor, along with the coconut milk, cinnamon, nutmeg and orange zest. Process until smooth. Season with salt and pepper. Fold in the walnuts if using.