Preheat the oven to 375 degrees F.
Rub the pumpkin and squash halves with 1 tablespoon olive oil and season with 1/2 teaspoon salt and 1/4 teaspoon black pepper; place flesh side down in a large roasting pan. Place thyme sprigs under each half. Toss the onions, carrots, shallots, orange and bay leaves with the remaining 1 tablespoon olive oil, 1/2 teaspoon salt, and 1/4 teaspoon black pepper and place in the roasting pan. Roast until the vegetables are well browned, about 1 1/2 hours, occasionally stirring the vegetables (except the pumpkin and squash). Remove the orange if it begins to brown before other vegetables.
Remove the pan from the oven and let sit until the vegetables are cool enough to handle. Meanwhile, remove the thyme and bay leaves and discard. Once cool, scoop the flesh from the pumpkin and squash and transfer back to roasting pan. Place the roasting pan over 2 burners over medium heat. Season with the remaining 1 1/2 teaspoons salt, cloves, and allspice and add wine to deglaze the pan. Add 2 cups stock and bring to a simmer. Cook for 20 minutes. Remove the orange and discard.
Transfer the soup in small batches to a food processor or blender and puree until very smooth. Strain the mixture through a sieve into a medium saucepan or soup pot. Add the remaining 4 cups stock, orange juice, brown sugar, and balsamic vinegar and bring to a simmer. Add cream and stir to combine. Garnish with freshly ground black pepper.
Yield: 2 quarts