Preheat the oven to 350°F.
Cut the butternut squash in half lengthwise. Scoop out the seeds and mist the flesh with oil spray. Sprinkle both halves with the salt and pepper. Place the squash flesh side-down in a shallow baking dish and add 1/2 cup water. Bake until the flesh is fork-tender, about 1 hour.
Allow the squash to rest until it is cool enough to handle. Scoop out the flesh and set aside.
Heat the olive oil in a large pot over medium heat. Add the onion and sauté until it turns translucent, about 10 minutes.
Add the squash, apples, broth, nutmeg, and bay leaf, and bring the mixture to a boil.
Reduce the heat to low and simmer for 30 minutes. Allow the soup to cool slightly.
Remove the bay leaf and purée the soup in a blender (or directly in the pot with an immersion blender) until smooth, using caution while working with hot liquids.