Preheat the oven to 400 degrees.
Cut the pumpkin in half lengthwise and place them flesh side down on baking sheets. Bake until tender, about 40 minutes. When cool enough to handle, remove the seeds and rind. Reserve about ½ lb. of the flesh and dice the rest.
Melt the butter in a pot. Add the onion and sauté gently until softened. Stir in the pumpkin and sauté for 5 minutes to marry the flavors.
Add the broth, milk, nutmeg, orange zest, and salt, and simmer for 2 minutes. Remove the pot from the heat and let cool slightly.
Purée the mixture in a blender, then return it to the pot to heat through. Cut the reserved pumpkin into bite-sized slices and add to the soup with the pepper. Serve hot or warm.