Heat the olive oil in a large pot over medium heat.
Add the diced onion and cook, stirring occasionally, until translucent, about 5 minutes.
Add the minced garlic and cook for 1 minute until fragrant.
Add the cubed butternut squash and chopped zucchini to the pot and stir to combine.
Pour in the vegetable broth and bring the mixture to a boil.
Reduce heat to low, cover, and simmer for 25 minutes or until the vegetables are tender.
Remove the pot from heat and use an immersion blender to puree the soup until smooth. Alternatively, transfer the soup in batches to a blender and puree until smooth, then return to the pot.
Stir in the coconut milk, salt, black pepper, and ground nutmeg.
Heat the soup gently over low heat for 5 minutes, stirring occasionally.
Serve hot.