Heat a deep pot with a tight-fitting lid over medium-high heat. Add oil to the hot pot. Add onion to the hot oil and cook until softened, about 5 minutes. Add curry, ginger, and cayenne. Cook until onion just starts to brown, about 2 minutes.
Add squash and coconut milk to the pot with the onion. Sprinkle with salt and pepper and bring to a boil. Cover and reduce heat to low. Cook, stirring once or twice, until squash is tender, about 20 minutes. Remove lid; if soup is not thick enough, turn heat to medium-high and cook until thickened, about 20 minutes more. Adjust seasoning and garnish with cilantro.
