1. Preheat the oven to 400 F.
2. Line the bottom and sides of a 9-inch deep-dish pie plate (or ceramic flan dish) with two sheets of fillo stacked on top of each other. Brush with butter and repeat the process twice more, offsetting the fillo by a third each time. Trim overhang.
3. Working on a cutting board or work surface, arrange one remaining sheet fillo with the longest edge closest to you and pleat accordion- style at 1-inch intervals. Repeat with the last two sheets. Starting in the centre of the dish, coil one strip from the middle outward, leaving a half-inch space between rows. Meet the end of the first strip with the second and repeat the process with the third. Brush with remaining butter and bake for 15-18 minutes or until golden and crisp.
4. Meanwhile, make the filling: combine squash, 1⁄2 cup water, and butter in a skillet. Season with salt & pepper. Set over low heat, cover and cook for 8-10 minutes until soft; set aside. Whisk together eggs, cream, nutmeg and thyme; season with salt & pepper.
5. To assemble, dollop squash between fillo coils, pour egg mixture around and scatter with feta. Bake 25 minutes longer or until set.