Peel and remove the seeds from the squash. Slice very thinly. Melt the butter in a saucepan, and add the squash, thyme and salt then cook gently until completely soft. In a separate pan, bring the stock to the boil and then pour over the squash. Continue to simmer for 5 minutes, transfer to a blender, add a few grinds of pepper then blitz until silky smooth.
Warm the milk a little. Dissolve the yeast in the milk, with a teaspoon of the sugar.
Put the flour, remaining sugar and salt into the bowl of your mixer. Add the yeast mixture, followed by the egg and the melted butter.
Carry on mixing at a medium speed for about 10 minutes or until the dough is smooth and coming away from the sides of the bowl. Form the dough into a ball and place in a greased bowl. Cover the bowl with cling film and refrigerate it overnight.
On a floured board, roll out the dough to just under 1cm thick. Cover with cling film and put it back in the fridge to chill and firm up a bit.
Using a small round pastry cutter carefully cut out the doughnuts and lay them on greased sheet. Leave them in a warmish place to prove for about 30 minutes.
Heat the cream in a small saucepan, remove from the heat then using a hand blender, blend in the cheese. Pour into a cream whipper gun along with the milk and charge with one gas canister.