Preheat oven to 400°F. Place squash and carrots on a large rimmed baking sheet and drizzle with 2 tablespoons olive oil, ½ teaspoon salt, and a large pinch of black pepper. Toss to coat. Roast in the oven for 35 minutes, tossing once halfway through the cooking time.
Meanwhile, in a large pot, saute onion in 2 tablespoons olive oil over medium heat, for about 10 minutes, until softened and light brown. Add carrots, squash, thyme, bay leaf, chicken broth, and 1 cup of water to the onions. Bring the mixture to a boil, then reduce heat and simmer. Simmer uncovered for 30 minutes until vegetables are tender and the liquid has reduced slightly.
Using a stand blender or immersion blender, puree the soup until smooth. Add additional water, if needed, to thin it out. Stir in cream and season to taste with salt and pepper.