Prepare the butternut squash by peeling, halving, seeding, and cubing it into small pieces.
Heat olive oil in a large pot over medium heat. Sauté diced onion for 5 minutes until translucent, then add minced garlic and cook for another minute.
Add the cubed butternut squash to the pot and cook for 5 minutes. Then pour in the vegetable broth, add cumin, nutmeg, salt, and pepper. Bring to a boil, then reduce heat and simmer for 20-25 minutes until squash is tender.
Blend the soup until smooth using an immersion blender or a regular blender in batches.
Stir in the coconut milk and cooked lentils, heat through for 5 minutes, and adjust seasoning if needed.