Preheat the oven to 200°C/gas mark 6. Peel the carrots and parsnips. Using a sharp knife, cut the carrots and parsnips in half lengthways. Lay them with the flat side facing the chopping board and cut slits into the top side of them, roughly ½cm apart. Place these on a large baking sheet and drizzle over half the vegetable oil. Season with black pepper and then bake for 40-45 minutes, turning over halfway through, until soft.
Meanwhile, make the butternut squash purée. Heat the remaining oil over a medium heat in a pan and add the diced onion. Cook for 8-10 minutes until soft, then add the garlic and spices and cook for 2 minutes, until fragrant. Add the butternut squash and cook in the onion mixture for 2 minutes, then add the stock. Bring to the boil, then lower the heat and simmer for 15 minutes until the squash is tender.
Place a sieve over a bowl and drain the butternut squash. Put the butternut into a liquidiser and blend until smooth but still fairly thick – you want it to be able to hold its shape. If it's too thick and not blending properly, add 1 tbsp of the cooking liquid. Season and set aside.
Place the puff pastry on to a baking sheet and, using a sharp knife, cut a border around the edge roughly 2mm deep and 1cm from the sides, making sure not to cut all the way through. Bake for 6 minutes, until puffed up slightly, then carefully remove the top layer of the middle section to create a slightly hollowed area in the middle of the pastry. Spread the butternut squash purée over the centre, being careful not to cover the edges, then top with the chopped hazelnuts and roasted vegetables. Brush the edges of the pastry with the almond milk and the top of the vegetables with the agave. Sprinkle the thyme leaves over the vegetables. Place back in the oven for 15 minutes, until the pastry is golden brown.