Step 1Roast the squash: Heat the oven to 425 degrees. Line a sheet pan with parchment and place the squash on the parchment. Season with ¼ teaspoon salt, or to taste, and toss to coat with 2 tablespoons of the olive oil. Place in the oven and roast until tender but still firm, and lightly colored, 20 to 30 minutes. Stir the squash every 10 minutes so that it roasts evenly. Remove from the oven and set aside.
Step 2In a heavy saucepan, bring the broth to a simmer over low heat. Taste the broth and season if needed.
Step 3In a wide heavy saucepan or straight-sided skillet, heat the remaining oil over medium heat. Add the onion or shallot and a generous pinch of salt, and cook, stirring frequently, until it is just tender, about 3 minutes. Be careful not to brown. Stir in the garlic and cook until fragrant, about 30 seconds.
Step 4Add the Arborio rice, sage and the thyme. Cook, stirring frequently, until the grains separate and begin to crackle, 1 to 2 minutes. Add the wine and stir until it is evaporated or absorbed by the rice. Begin adding the simmering broth, a ladleful at a time. The broth should just cover the rice, and should be bubbling, not too slowly but not too quickly. Cook, stirring often, until it is just about absorbed. Add another ladleful or two of the broth and continue to cook in this fashion, adding more broth and stirring when the rice is almost dry. When the rice is al dente (tender but still chewy), it is done, 20 to 25 minutes. Taste and adjust for salt and pepper.
Step 5Add the winter squash and the black rice, along with another ladleful of broth, stirring to fully combine. The mixture should be creamy (add a little more broth if it isn’t). Remove from the heat and stir in the Parmesan, then serve immediately.