Preheat the oven to 350F and line a baking sheet with parchment paper or a silicone mat. Sprinkle with salt and pepper and bake, flesh side up, 20 to 30 minutes, until tender and slightly browned. Remove and let cool, then scoop out the flesh from the skin.
In a large saucepan over medium heat, heat the oil until shimmering. Add the onion and celery and sprinkle with salt and pepper. Sauté until the vegetables are tender, about 4 minutes. Add the garlic and cook another 30 seconds.
Add the cauliflower, pumpkin, sage, paprika, and cayenne, and sauté a minute or two. Add the chicken broth and bring to a boil. Reduce the heat and simmer 15 minutes, until the cauliflower is tender.
Transfer to a blender and blend until smooth, or use an immersion blender to blend until smooth. Return to the pan and stir in the coconut milk. Adjust seasonings to taste and serve.