Preheat oven to 375° F.
Peel and cut squash into 1 inch cubes. Put onto a baking sheet and toss with cinnamon and nutmeg, cover with foil, and bake for 40 minutes until tender. Remove from oven and reduce heat to 350° F. Allow squash to cool.
Spread coconut onto baking sheet and bake for 6 minutes, tossing every 2 minutes do it does not burn; cool.
Mince shallots. Heat coconut oil in a large pot over medium. Add toasted coconut and shallots; cook and stir for 5 minutes.
Add squash, broth, and coconut milk; simmer for 5 minutes. Blend until smooth using an immersion blender. Add more broth as needed to keep mixture from becoming too thick.
Season with salt and pepper to taste; garnish with a small amount of coconut milk if desired. Serve dinner rolls and orange wedges on the side.