Line a baking sheet with aluminum foil. Cut each squash in half lengthwise. Place squashes, cut side down, on prepared baking sheet. Bake at 350 degrees F for 30 minutes or until tender; let cool. Discard seeds and membrane. Scoop out pulp to yield 2 cups and set aside; discard remaining pulp.
In a large saucepan, bring sherry to a boil over medium-high heat. Add onion and garlic; cook 3 minutes, stirring frequently. Add bell pepper; cook 3 minutes, continuing to stir. Add reserved squash pulp, chicken broth, and remaining ingredients; bring to a boil. Cover, reduce heat, and simmer 30 minutes, stirring occasionally.
Place squash mixture in container of an electric blender or food processor; cover and process until smooth. Serve warm.