Prepare the grill for indirect cooking over medium heat (350° to 450°F).
Cut the top off of the pumpkin and set aside. With a large, metal spoon, scrape the seeds and stringy fibers from the interior and discard. Replace the top.
Brush the cooking grates clean. Grill the pumpkin over indirect medium heat, with the lid closed, until the flesh is very soft, 1½ to 2 hours. Remove the pumpkin from the grill and allow it to cool. Scoop out the pulp with a spoon and reserve.
In a large pot over medium heat, melt the butter. Add the onion and cook until soft but not browned, 2 to 3 minutes, stirring occasionally. Add the wine and cook until almost all the liquid has evaporated, about 5 minutes. Add the pumpkin pulp and the chicken broth; stir well. Bring to a simmer and simmer for 20 minutes, stirring occasionally. Stir in the heavy cream and return to a simmer. Season with salt and pepper. Ladle into bowls and sprinkle with nutmeg, if desired.