Melt the butter in a large pot and cook the onion until translucent. Lower heat as needed.
Add the apple, squash, bay leaf, ginger and broth. Bring to a boil and reduce heat.
Allow to simmer until squash is tender, about 15 minutes. Add salt, cinnamon and nutmeg. Adjust spices to suit taste.
Remove bay leaf. Using an immersion blender, carefully blend the mixture until it makes a fine soup. Add coconut milk slowly to avoid it becoming too watery.
Continue to blend until smooth. Allow for desired consistency by adding more coconut milk if needed.