Preheat oven to 375 F.
Cut a small piece off the bottom of the acorn squash halves so that they sit flat on the baking sheet.
Drizzle with olive oil, sprinkle with salt and sage and cook for 40 minutes.
Remove squash and let cool completely.
Whisk together coconut milk, cream, egg yolks, sugar, orange zest, salt and pepper.
Pour mixture into cooled squash halves and bake at 300 degrees F for about 50 minutes until mixture jiggles like a gelatin.
Let cool for a couple hours until custard sets up.
Cut squash halves in half to create 4 servings.
Top with nuts when serving.