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1
Preheat the oven to 400u00b0. Arrange cubed butternut squash in a shallow baking dish, sprinkling salt, cinnamon sugar, and nutmeg over them. Drizzle the oil and mix so the oil gets distributed evenly over the squash.
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2
Bake in the oven for 30-40 minutes. Once the squash has cooled off, put it into a bowl where you can slightly mash the squash, leaving most of them cubed and intact. You want a chunky squash rather than a completely pureed mixture as the chunks hold moisture better and will keep the filling from drying out as it cooks. This will be especially true if you bake instead of fry them.
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3
Place the frying oil into a heavy pot narrow enough for the oil to be at least 3? deep. Heat the oil until it reaches and stays between 350u00b0 and 400u00b0 while you're frying the cigars.
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4
Have 1-2 wet and squeezed out paper towels at the ready. Place the melted butter next to you for ease of work. Gently take 4-5 sheets and with the widest side facing you, using a sharp knife cut 4 long strips of dough, stacking them one on top of one another as you go. Completely cover all the cut strips with the wet paper towels as you work with one strip at a time.
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5
Butter the strip and place 1 heaping tablespoon of butternut squash close to the short straight edge closest to you, leaving some room on the sides. If you have a strip that has torn in half on one side, flip that side closer to you, so the tear ends up folding in as you roll the cigar. You can also slightly overlap the torn pieces before you put the filling in. Once you've placed the squash filling in, fold the short edge over the squash and start rolling toward the other end. Early on, about 1/4 of the way down the strip, fold in 1/16? of the outer left and right sides of the strip, so while you roll the cigar it remains straight and the edges are tucked in. Keep filling each cigar and stack them on the side before you fry them.
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6
Once your oil is heated to the right temperature, drop in 3-4 cigars at once, without overcrowding the pot. Don't worry if the edges of the cigar unfurl a little as they fry. Once they cool off, you can flake off some of this excess. Use tongs to roll the cigars over so they turn brown and golden on all sides. You'll want to fry them for no longer than a minutes on each side, but this will depend on how hot the oil is. Spread the cigars on paper towels to drain. Serve warm.
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7
*If you wanted to skip the frying and bake them instead, prepare them as you would up until the cooking time, then place them on an oiled or nonstick cookie sheet and bake them for 15-20 minutes in a 350u00b0 oven. If you bake these ahead and store them in the refrigerator, they will become limpy and moist. However, you can bring them back to their crispy golden life by reheating them for 10 minutes at 300u00b0.
