Heat a large heavy-bottom pot over medium-high heat; add olive oil. Cook and stir chili moritas in the hot oil until chili moritas are puffed and softened, 3 to 5 minutes. Stir onion, carrots, celery, garlic, salt, and pepper into chili moritas and cook until onion is translucent, 10 to 15 minutes.
Stir curry paste and paprika into chili-onion mixture until coated. Add butternut squash; cook and stir until squash is lightly browned, about 5 minutes. Pour chicken stock, water, and coconut milk into squash mixture; add bay leaves. Bring mixture to a boil, reduce heat, and simmer until squash is softened, about 1 hour.
Pour squash mixture into a blender no more than half full. Cover and hold lid down; pulse a few times before leaving on to blend. Puree in batches until smooth.