Heat the oil in large pot or dutch oven or medium-high heat. Add the shallot, butternut squash, garlic, thai chiles, salt and pepper and cook, stirring, until the shallots are softened and the butternut squash is slightly softened, about 6 minutes.
Add the red curry paste and toss to combine, continuing to cook, toasting the red curry paste to bring out the flavors, about 2 more minutes.
Pour in the veggie broth and fish sauce and bring the soup to a simmer. Once simmering, reduce the heat to a light simmer. Cover and cook until the butternut squash is fork tender, 8 to 10 minutes.
Add the coconut milk and lime juice and using an immersion blender, blend the soup until smooth. Alternatively, carefully transfer the soup in batches to a high speed blender and blend until smooth. Continue to cook, uncovered, to allow the soup to thicken slightly, about 5 more minutes.
To serve, ladle the soup into bowls and garnish with fresh cilantro, a drizzle of coconut milk and a squeeze of lime.