Place squash halves, apple wedges, and onions on a lightly greased foil-lined baking sheet, cut sides down.
Bake at 400 for 45 minutes or until squash is tender.
Remove from oven; cool. Scoop out squash pulp, discarding shells.
Combine pulp, roasted apples and onions, broth, and next 5 ingredients in a Dutch oven. Bring to a boil; reduce heat to medium-low, and simmer, stirring often, 5 minutes.
Remove mixture from heat; cool.
Process squash mixture, 1 cup at a time, in a food processor until smooth. Return pure to Dutch oven, and chill 8 hours, if desired.
Heat soup in Dutch oven over low heat. Slowly add whipping cream and milk, stirring constantly until thoroughly heated and smooth.