Preheat the oven to 400 degrees. Spread the squash on a baking sheet and dress with 2 tbsp. EVOO, salt, pepper and nutmeg. Roast in the oven until the sugars of the squash start to caramelize, about 25 minutes.
Meanwhile, in a soup pot, heat the remaining 3 tbsp. EVOO, 3 turns of the pan. Stir in the carrots, celery, onion, garlic, saffron, orange zest and lemon zest. Add 1 qt. water and cook until the vegetables are soft, about 20 minutes. Add the squash
Using an immersion blender, puree the soup. Season with salt and pepper. Serve the soup in shallow bowls and top with the pistachios.