Spread the butternut squash and onions out in a roasting tin. Drizzle with the oil and season with pepper. Roast in a preheated oven, 190° C (375°F), Gas Mark 5, for 15–20 minutes until just tender.
Meanwhile, brush a 28 cm (11 inch) round loose-bottomed flan tin with some of the melted butter. Lay a few sheets of filo pastry across it, slightly overlapping. Brush the overhanging filo with more butter. Continue layering the remaining filo, buttering as you go and slightly overlapping the sides of the tin.
Chop the sage roughly, reserving 6 leaves. Mix the ricotta and chopped sage together in a bowl and season well with salt and pepper, then spoon into the filo pastry case. Spoon over the roasted squash and onions, then crumble over the Roquefort and scatter over the reserved sage leaves.
Bake the pie in the oven for 20 minutes until golden. Serve warm with rocket leaves.