Combine squash, sweet potatoes, olive oil, salt, and pepper together in a bowl; toss to coat.
Pour out onto a baking sheet.
Bake in the preheated oven, flipping the vegetables once, until slightly caramelized and tender, about 60 minutes.
Place bacon in a large skillet and cook over medium-high heat, turning occasionally, until slightly crisp, 7 to 10 minutes. Reserve 1 tablespoon bacon drippings.
Drain the bacon slices on paper towels; crumble bacon.
Heat bacon drippings and butter together in Dutch oven over medium heat.
Saute onion and butter in hot butter mixture until onion is translucent, 7 to 10 minutes.
Pour the white wine into the pan and bring to a boil while scraping the browned bits of food off of the bottom of the pan with a wooden spoon. Cook until white wine is reduced by half, 3 to 5 minutes.
Stir roasted squash mixture into onion mixture; add stock and bring to a boil. Reduce heat to low and simmer until all vegetables are tender, about 10 minutes.
Pour vegetable mixture into a blender no more than half full. Cover and hold lid down; pulse a few times before leaving on to blend. Puree in batches until smooth. Return pureed soup to Dutch oven.
Stir half-and-half into pureed soup; cook and stir over medium-low heat until soup is warmed through, about 5 minutes. Stir nutmeg into soup; season with salt and pepper to taste. Ladle into bowls and top each with crumbled bacon.
