Preheat oven to 400 degrees F. Peel and chop squash, then lay on a baking sheet. Toss with olive oil, salt, pepper and nutmeg. Roast for 20 minutes, flip once, then roast for 20 minutes more. Remove from oven and add squash to a bowl, then mash with a potato masher or fork.
Prepare water for pasta and cook according to directions.
While pasta is cooking, heat a medium saucepan over medium heat and add butter and shallots. Whisk continuously until the butter browns and small brown bits appear in the pan. Immediately whisk in flour and cook for 1-2 minutes. Add milk, mascarpone and mashed squash, then mix until until combined. I chose to keep my “sauce” in a thicker state (see the second picture), but if you’d like it thinned out a bit more, add additional milk. At this point, taste and see if you’d like any additional salt or spices – this will most likely depend on how seasoned your squash was. I added another small pinch of salt.
Add pasta to an 8 or 9-inch baking dish. Pour sauce over top, then use a spoon to fold the sauce into the penne, coating it completely. Top with shredded cheeses and fresh sage leaves. Bake for 25-30 minutes, or until cheese is golden and bubbly. Garnish with crumbled bacon if desired.
Note: this is a very “thick” pasta, and it is not swimming in sauce. If you would prefer it to be “saucy,” I’d advise adding more milk to the sauce while cooking. It is great reheated, and adding 1-2 tablespoons of milk when reheating helps it come together nicely.