Preheat the oven to 400°. Cut the squash lengthwise and scoop out the seeds. Set the squash on a baking sheet, cut sides up. Drizzle with olive oil and season generously with salt and pepper. Roast the squash for 45 to 50 minutes, or until tender. Scoop the squash out of the skins into a bowl. In a large, heavy stockpot, heat the 2 tablespoons of olive oil until shimmering. Add the onion, season with salt and pepper and cook over moderately high heat, stirring, until softened but not browned, about 6 minutes.
Stir in the squash and the stock and bring to a boil over high heat, stirring frequently.
Add 3 of the thyme sprigs and sprinkle of nutmeg.
Reduce the heat and simmer the soup for 20 or so minutes, stirring occasionally.
Meanwhile, cut bacon into small cubes, cook until crispy.
Let the soup cool, then pick out and discard the thyme sprigs. Transfer to a blender or food processor and puree until thick and creamy-smooth, about 1 minute per batch.
Garnish soup with sprigs of thyme and crispy bacon.