Preheat your oven to 400°F / 200°C. On a large baking pan, combine the butternut squash, apple pieces, and red onion.
Drizzle with vegetable oil, sprinkle with salt and pepper, and toss gently to coat everything evenly.
Roast for about 35 minutes, or until the squash is tender and everything is lightly browned. Carefully remove from the oven and stir in the crumbled cheese and sage.
Set the filling aside to cool slightly.
Prepare a separate baking sheet by lining it with parchment paper. Unfold your thawed phyllo dough and have it ready on your work surface. It's crucial to keep the phyllo sheets you aren't actively working with covered with a piece of plastic wrap or a slightly damp towel to prevent them from drying out and cracking.
To build the first roll, lay one sheet of phyllo dough on your work surface with a short side facing you. Lightly coat the entire sheet with nonstick cooking spray, then sprinkle with some of the toasted walnuts.
Place another sheet of phyllo directly on top and repeat the process of spraying and sprinkling with walnuts.
Continue this layering process until you have a stack of 6 phyllo sheets.
Spread half of the butternut squash filling along the short edge closest to you, leaving a 1/2-inch / 1. 5 cm border on the sides and edge. Carefully but tightly, roll up the phyllo stack starting from the filled edge to create a log.
Place the finished roll seam-side down.
Repeat steps 3 and 4 with the remaining 6 phyllo sheets, walnuts, and squash filling to create a second roll.
Lightly spray the outside of both logs with cooking spray.
Using a sharp serrated knife, gently saw (don't press down) each log into 4 equal portions, for a total of 8 rolls.
Arrange the portions cut-side up on your prepared baking sheet.
Bake for 15 minutes, or until the phyllo is beautifully golden brown and crisp.
Work quickly with phyllo dough and always keep the sheets you aren't using covered with plastic wrap or a damp towel to prevent them from becoming brittle and cracking.