Set the oven to 400°F (205°C) and allow it to preheat.
In a bowl, toss the chopped butternut squash with the extra virgin olive oil, dried thyme, dried basil, sea salt, and black pepper until every piece is lightly coated.
Place the seasoned squash evenly onto a baking sheet lined with parchment paper.
Bake for 30 minutes, until the squash becomes tender and has lightly caramelized edges.
Meanwhile, warm the olive oil in a large pot over medium heat. Sauté the onion, garlic, cumin, and paprika until the onion turns translucent and soft.
Add the roasted squash to the pot, mixing it with the onion mixture. Then pour in the vegetable stock and soy sauce.
Heat the soup until it simmers, then let it cook for roughly 15 minutes so the flavors combine.
Take the pot off the heat. Blend the soup with an immersion blender until smooth. If using a countertop blender, let the soup cool a bit, then puree in batches and return to the pot.
Mix in the coconut milk until it is thoroughly blended.
Adjust the seasoning with sea salt and pepper according to your preference.
Serve the soup in bowls, optionally garnishing with a sprinkle of black pepper and a sprig of fresh thyme.