Preheat your oven to 400F and line two baking sheets with parchment or foil. Spray or brush both sides of the squash with oil. Place the squash, cut side down, on the baking sheets. Roast for 25-35 minutes, or until the squash are fork tender and browning.
While the squash halves roast, heat the oil in a medium sized pot. Add the onion, celery, and carrots. Cook, stirring every now and then, for 5-7 minutes, or until the onion is soft and clear. Add the garlic and millet. Toast the millet for about 2 minutes, or until it smells a bit nutty. Add the salt and broth. Bring the millet to a boil, reduce the heat to low, cover, and simmer for 20-25 minutes, or until the lentils are tender (but a little al dente) and the millet has absorbed all of the liquid. Remove the millet from heat and allow it to steam while you make the gravy.
To prepare the gravy, heat the flour and nutritional yeast in a small saucepan over medium heat. Stir them frequently, and continue cooking until they smell toasted and the flour is just golden (about 5 minutes). Remove them from heat and whisk in the vegetable broth, tamari, olive oil, thyme, and garlic powder. Return the mixture to low heat and cook, whisking constantly, until the gravy is thick and bubbly. Season to taste with black pepper and remove from heat.
When the squash halves are ready, flip them over. Taste the millet and black lentil stuffing and adjust salt and pepper as needed. Stuff each squash half with the stuffing, then top with the gravy (or another sauce or dressing). Serve.
Millet and black lentil stuffing can be prepared a day in advance, and the squashes can be roasted a day in advance. Gravy can be prepared up to 2 days in advance, or frozen for up to 3 weeks.