Preheat the oven to 200°C.
Place the onion, squash, and sweet potato on a baking sheet, drizzle with oil, sprinkle spices, and roast for 45 to 60 minutes until tender.
Blend half of the cooled vegetables with 500ml of stock until smooth and transfer to a large pan.
Repeat the blending process with the remaining vegetables and another 500ml of stock.
Stir the final 500ml of stock into the food processor to rinse, then add it to the pan.
Stir in the marsala wine and season with salt and pepper.
Blend the blue cheese and buttermilk in a clean food processor to form a smooth paste.
Ladle the hot soup into bowls and drizzle with the blue cheese sauce before serving.