Preheat the oven to 425°F. Melt the butter with the dried thyme and set aside.
Cut the squash in half lengthwise and scoop out the seeds. Cut the apples in large chunks, removing the cores and stems. Cut the onion in half.
Line a large sheet pan with parchment paper and place the onion halves on it, cut side down. Set the squash and apples on the pan cut side up and brush them with the thyme butter, drizzling any extra butter right onto the pan. Flip the squash and apples cut side down, moving the squash halves toward the outer edges of the pan.
Roast at 425°F for 45-55 minutes, until the squash is very soft and a knife slides in and out with little resistance. Note: if the skin starts browning too quickly, cover with foil after 30 minutes.
Let the squash cool enough to handle. Scoop the flesh out of the squash skin and slip the peels off the apples. Add the squash, apples, onion, and pan juices to a blender (or a soup pot if using an immersion blender).
Add the maple syrup and chicken stock. Blend until completely smooth and creamy.
Pour the soup into a pot (if it isn't in one already) and heat over medium heat until it just starts to simmer. Turn off the heat.
Stir in the cream, salt, pepper, and a pinch of nutmeg. Taste, adjust the seasonings, and serve.