Heat oven to 400. Halve squash lengthwise and scrape out all the seeds and stringy gunk. Line a baking sheet with foil, grease it with 1 tablespoon of the oil, and roast squash, cut sides down, until it is very soft, 45 minutes to an hour. Meanwhile, heat the remaining tablespoon of oil in a soup pot over medium-low heat for 2 minutes. Add the shallot, garlic, ginger, zest, paprika, coriander, and cayenne. (For more authentic Thai ingredients, replace the zest, paprika, coriander, and cayenne with a teaspoon of red curry paste and 3 to 4 Kaffir lime leaves.) Stir briskly until it's sizzling and fragrant, 30 seconds or so. Add salt, sugar, broth, and coconut milk, and bring to a simmer. If the squash isn't done, cover broth mixture and turn off heat; otherwise, add the squash (after scraping or scooping it out of the peel), and simmer for 15 minutes. Purée soup with a hand blender (or in batches in a blender or food processor). Add 1 cup water if soup seems too thick, then stir in lime juice and a dash or two of fish sauce. Taste. It should be lively -- a mix of sweet, tart, and salty -- so add more lime juice, salt, or sugar if needed. Garnish with cilantro, if using, and serve.