Preheat oven to 400℉. Lightly brush or spray baking sheet lined with parchment paper, and set aside.
Wash the kabocha squash and cut it in half. Remove the seeds and the membranes.
Place the kabocha halves with the cut side down on the prepared baking sheet and cook for 30 minutes.
When the squash is tender, remove it from the oven and let it cool until it is able to handled. Scoop out the orange flesh into a bowl, and set aside.
Heat oil in a large pot or saucepan. Add onion, and cook until it is soft, about 3 minutes.
Stir in the garlic, green onion, thyme, and Italian seasoning, and cook for 1 minute.
Add the cooked kabocha squash, coconut milk, and vegetable broth, and cook for 5 minutes.
Season with salt and serve.