Preheat the oven to 400°F. Toss the cubed squash, chopped apples, onion, and garlic cloves with olive oil, cinnamon, nutmeg, salt, and pepper on a baking sheet. Spread in a single layer.
Roast for 25 to 30 minutes until the squash is tender and lightly browned at the edges.
Transfer the roasted vegetables to a large pot. Add the vegetable broth and bring to a simmer over medium heat. Cook for 5 minutes to let the flavors combine.
Remove from heat. Use an immersion blender to puree the soup until smooth, or carefully transfer to a blender in batches.
Stir in the coconut milk. Taste and adjust salt and pepper if needed. Serve hot, topped with a few fresh thyme leaves.