Toward the end of the roasting time, get started on the soup. In a Dutch oven or large stockpot, heat the butter over medium heat. Add the onion and celery; sauté, stirring occasionally until the vegetables are translucent and tender, about 5 minutes. Stir in the thyme and season with a sprinkle of salt.
Add the cooked squash to the stockpot with the vegetables, along with the broth, nutmeg, cayenne pepper, and 1/2 teaspoon salt. Bring to a boil. Lower heat and gently simmer for 10 minutes. Taste and adjust seasonings, if necessary.
Using a blender, immersion blender, or food processor, blend the soup in batches until smooth. Return to the pot and keep warm.
Ladle into bowls and top with parmesan and croutons, if desired.