Cut both ends of the butternut squash and then slice in half. Scrape out the seeds and place cut side down on a baking sheet lined with parchment paper, foil, or a silicon mat. Cook for 60-75 minutes or until skin is scorched and the squash is soft.
While the butternut squash is roasting add the bacon to the pot. On medium high cook the bacon until all of the fat is rendered out and the bacon is crispy. Using a slotted spoon remove the bits.
Remove all but 3 tablespoons of the remaining drippings. Add the apples, salt, pepper, and onions to the pot and cook until they start browning.
Add the chicken stock and thyme tied with butcher's twine. Bring to a boil and reduce to a simmer. Allow to simmer until the butternut squash is done roasting. Remove the thyme.
Once the butternut squash has been cooked, add to the soup and blend using the immersion blender.
Add the rosemary, nutmeg, and cream and continue blending until smooth.