Toss squash, onion, apple, olive oil, salt, pepper, and garlic in a bowl until coated. On a large baking sheet lined with parchment paper, spread out squash mixture. Roast in the oven for 25-30 minutes until tender and lightly browned.
In a large pot over high heat, add the roasted squash mixture, nutmeg, cayenne, and chicken broth. Bring the pot to a boil. Reduce heat to low, then cover and cook for 20-30 minutes, breaking up the ingredients with your spoon as it cooks.
Remove the mixture from the stove and add the Collagen Peptides and goat cheese. Puree the mixture with an immersion blender. Add butter or olive oil to taste and blend again. Taste once more and add more salt and pepper if needed. You may also place in a blender, processing it in small batches instead of using an immersion blender.