Heat olive oil in a large pot over medium heat.
Add chopped onion and cook for 5 minutes, stirring occasionally, until softened.
Add minced garlic and cook for 1 minute until fragrant.
Add diced butternut squash and zucchini to the pot and stir to combine.
Pour in the vegetable broth and add dried thyme, salt, black pepper, and ground nutmeg.
Bring the mixture to a boil, then reduce heat to low and simmer uncovered for 25 minutes or until the vegetables are tender.
Remove the pot from heat and let the soup cool slightly for 5 minutes.
Using an immersion blender, puree the soup until smooth and creamy. Alternatively, carefully transfer the soup in batches to a blender and blend until smooth.
Return the soup to low heat and stir in the coconut milk.
Heat the soup gently for 3-5 minutes without boiling.
Adjust seasoning with additional salt and pepper if needed.
Ladle the soup into bowls and garnish each with chopped fresh parsley before serving.