First, preheat the oven to 400ºF and prepare a baking sheet by wiping it with olive oil or spraying it with nonstick cooking spray.
Next, cut a butternut squash in half hot dog style. remove seeds and place on pan.
Bake squash for 30 minutes, remove from oven and add onion, jalapeño, shallot, and garlic to the same pan. Drizzle veggies with olive oil and then bake for another 30 minutes.
Remove pan from oven and let cool for 10-15 minutes.
Then, scoop out squash flesh and discard the rind. Place it in a large pot with all of the other roasted ingredients from the baking sheet.
Next, add broth, coconut milk, fresh sage, nutmeg, and apple cider vinegar to the pot. Use an emulsifier to blend all of the ingredients together.*
Finally, bring soup to a boil and then turn heat to low. Let simmer for 20-30 minutes.