Heat the oven to 400ºF/200ºC.
Toss the squash chunks with the oil in a roasting pan, and bake until very soft, about an hour.
Fry the bacon in a soup pot, remove to paper towel to drain, then crumble and set aside.
In the same pot, with a spoonful of the bacon fat left in, gently sauté the onion until translucent.
When the squash chunks are cooked, add them to the pot with a little water or stock.
Purée with a hand-held blender, adding more water if needed to make a thick soup.
Stir in the cream, heat gently, taste, and season with salt, pepper, and nutmeg.
Ladle the soup into bowls.
Put a dollop of sour cream in each, sprinkle with the bacon and chives, grind over a little black pepper, and serve.