While the squash is baking, in a medium saucepan over medium heat, heat the oil until shimmering. Add the onion, garlic, thyme, salt and pepper. Cook, stirring frequently, until tender, about 7 minutes. Add the wine and reduce until the pan is almost dry, about 3 minutes. Add the lentils and cook, stirring, until coated in the onion mixture, 1 to 2 minutes.