Preheat oven to 425 degrees. Place the squash and onion on a large, rimmed baking sheet. Add the oil, 1/2 teaspoon salt and 1/4 teaspoon pepper and toss to coat. Roast the vegetables for 35 to 45 minutes, stirring halfway through, until browned.
Heat the butter in a 5-quart Dutch oven or heavy saucepan over low heat. When the butter has completely melted, increase the heat to medium. Cook the butter, stirring, for 3 to 4 minutes, or until the milk solids in the butter are just beginning to turn golden. Add the sage and cook for another 1 to 2 minutes or until the butter is light brown. Transfer 2 tablespoons of the browned butter to a small bowl and set aside.
Add the roasted vegetables, broth, nutmeg and remaining 1/2 teaspoon salt and 1/4 teaspoon pepper to the Dutch oven with the remaining 3 tablespoons of browned butter. Bring to a boil over medium-high heat. Reduce heat to low and simmer for 20 minutes to allow the flavors to blend. Remove from heat and let cool for 10 minutes.
Using a blender, an immersion blender or food processor, purée the soup in batches and return to the Dutch oven. (To prevent the hot soup from splattering when using a blender, fill only halfway, loosen the plastic insert in the top and cover with a dish towel.)
Add 1/2 cup cream and the lemon juice to the soup and heat over low until hot. Taste for seasonings.