Preheat oven to 400°F; line a baking sheet with parchment.
Brush squash cut sides with oil; season with salt and pepper. Place cut-side down on sheet.
Roast 35-40 minutes until tender and caramelized; flip and set aside.
Meanwhile, cook macaroni according to package until al dente; drain and set aside.
Melt butter in a saucepan over medium; whisk in flour and cook 1 minute.
Gradually whisk in milk constantly about 4-5 minutes until thickened.
Remove from heat; stir in cheddar, Parmesan, thyme, salt, and nutmeg until smooth.
Scoop about 1/4 cup squash from each half; mix into sauce, then fold in macaroni.
Divide macaroni among four squash halves; sprinkle with panko.
Broil 2-3 minutes until breadcrumbs are golden brown; garnish with parsley and serve.