Preheat the oven to 400°.
Cut butternut squash in half, lengthwise. Use a spoon and scoop out the seeds. Set the squash halves on a baking sheet, cut sides up.
Pierce sweet potato several times with a fork and place on the baking sheet with the butternut squash.
Place a pat of butter in the scopped out hollow of each butternut squash half.
Season squash halves generously with salt and pepper.
Drape two or three half strips of bacon over each of the butternut squash halves.
Bake squash and sweet potato for 45-60 minutes or until soft.
Remove from oven and allow to cool until safe to handle.
Remove the bacon and place on paper towels to drain. Crumble and set aside.
Use a large spoon to scoop the squash out of the squash skins into a bowl. Do the same with the sweet potato.
In a large Dutch oven pot, heat 2 tablespoons of olive oil over medium heat.
Cook onion in the olive oil and season with salt and pepper until soft and onions turn translucent, about 5 minutes.
Add thyme and bay leaf to the pot.
Stir in the squash pulp, sweet potato pulp and chicken broth.
Increase heat and bring the mixture to a boil, stirring frequently.
Once the soup comes to a boil, reduce heat and simmer over low heat for 10-15 minutes, stirring frequently.
Remove stockpot from heat. Fish out and discard the bay leaf.
Using an immersion blender, carefully purée soup until it is smooth and creamy.
Return stockpot to the stove, turn the heat to low and stir in the heavy cream.
Add freshly grated nutmeg.
Cook until heated through. Thin soup with additional chicken broth or water if it seems too thick.
Taste and season soup with additional salt and pepper if needed.
Serve each bowl of soup topped with some of the reserved crumbled bacon and a drizzle of olive oil if desired.