Preheat the oven to 400°F (200°C). Prepare a baking sheet.
Cut the butternut squash in half, remove seeds, and roast for 30-40 minutes until soft.
While the squash cools, heat olive oil in a skillet over medium heat. Add the sausage and cook until browned, about 8-10 minutes.
Add chopped thyme and sage to the sausage, stirring for 1-2 minutes until fragrant.
In a bowl, combine the roasted butternut squash, egg, and salt. Gradually mix in the flour until a soft dough forms.
Turn the dough onto a floured surface, knead gently, and roll into long ropes. Cut into small pieces to form gnocchi.
Bring a large pot of salted water to a boil. Add gnocchi, cooking until they float, about 2-3 minutes.
Remove cooked gnocchi with a slotted spoon, transferring them to the skillet with sausage.
Pour in the heavy cream and Parmesan cheese, stirring gently until incorporated and heated through.
Taste and adjust seasoning, adding more salt or pepper as desired before serving.