Preheat the oven to 425°F (220°C).
In a large bowl, toss the butternut squash cubes and zucchini pieces with 1 tablespoon of olive oil and a pinch of salt and pepper.
Spread the vegetables in a single layer on a baking sheet lined with parchment paper.
Roast the vegetables in the preheated oven for 30-35 minutes, turning halfway through, until they are tender and lightly browned.
While the vegetables are roasting, heat the remaining 1 tablespoon of olive oil in a large pot over medium heat.
Add the chopped onion and sauté for 5-7 minutes until soft and translucent.
Add the minced garlic and cook for 1 minute until fragrant.
Add the roasted vegetables to the pot along with the vegetable broth, dried thyme, salt, black pepper, and ground nutmeg.
Bring the mixture to a boil, then reduce the heat and simmer for 10 minutes to let the flavors meld.
Remove the pot from heat and use an immersion blender to puree the soup until smooth. Alternatively, carefully transfer the soup in batches to a blender and blend until smooth, then return to the pot.
Stir in the coconut milk until fully incorporated and warm the soup over low heat for 2-3 minutes without boiling.
Taste and adjust seasoning if needed.
Ladle the soup into bowls and garnish with chopped fresh parsley before serving.