Prepare the butternut squash by peeling, cutting in half, scooping out the seeds, and dicing into small cubes.
In a large skillet, heat olive oil over medium heat, add diced onion, and sauté for 3-4 minutes until translucent. Add minced garlic and cook for an additional minute.
Stir in the diced butternut squash and cook for 5-7 minutes until softened. Pour in heavy cream and add grated Parmesan cheese, salt, black pepper, and nutmeg. Stir until cheese melts and sauce is smooth.
In a medium pot, bring salted water to a boil, add penne pasta, and cook according to package instructions until al dente, about 8-10 minutes. Drain and set aside.
Combine the cooked penne pasta with the Alfredo sauce in the skillet, mixing well to coat the pasta evenly.
Preheat the oven to 375°F. Grease a 9x13 inch baking dish, transfer the pasta mixture, and sprinkle shredded mozzarella cheese on top. Bake for 20-25 minutes until cheese is bubbly and golden brown.
Let the dish cool for a few minutes before serving.