In a large skillet over medium heat, melt 3 tablespoons of butter. Let it cook, swirling occasionally, until it foams and turns golden brown—about 3–4 minutes. Immediately reduce the heat to medium-low and stir in 1 tablespoon olive oil.
Add the chopped shallot and cook for 2–3 minutes. Stir in the minced garlic and cook for 30 seconds, just until fragrant. Add the diced butternut squash and half the salt and pepper and cook for 6–8 minutes, stirring occasionally, until it softens and caramelizes lightly.
Stir in the orzo and toast it for about 2 minutes, letting it soak up the brown butter and turn slightly golden.
Pour in the white wine and let it simmer for 1–2 minutes, scraping up any browned bits. Once mostly absorbed, begin ladling in the warm broth, about ½ cup at a time. Stir frequently, letting each addition absorb before adding more. Continue for about 18–20 minutes until the orzo is tender and the squash is soft.
Stir in the salt, pepper, thyme, nutmeg (if using), mascarpone, Parmesan, and lemon zest. Cook for another 2–3 minutes until creamy and well combined. Taste and adjust seasoning if needed.
Spoon into bowls and top with extra Parmesan and a few thyme leaves. Serve warm.