Place whole squash on paper towel in microwave oven; cook on HIGH 4 minutes. Carefully turn over with pot holders; continue cooking 3 minutes more or until squash is barely tender when pierced with a knife. Let stand 5 minutes.
Melt butter in large saucepan over medium heat. Add onion; cook 5 minutes or until onion is soft, stirring occasionally. Cut squash in half; scoop out and discard seeds and membrane. Keeping squash shell intact, scoop out flesh, leaving 1/4-inch thick shell. Add squash pulp to onion mixture; cook 1 minute. Add chicken broth, nutmeg and, if desired, cayenne pepper and salt; bring to a boil. Reduce heat; simmer, uncovered, 10 minutes or until squash is very tender, stirring occasionally.
Transfer squash mixture to food processor and process until smooth, or whiz with an immersion blender until soupy; add more chicken broth to thin, if needed. Reheat soup on low heat until very hot, just a few minutes. Arrange squash shells, cut sides up, in ovenproof bowls; place bowls on baking sheet; fill with hot soup. Top with toast and cheese. Place under preheated broiler 5 inches from heat; broil 3 minutes or until cheese is melted and golden brown.