Cut the pumpkin in half, scrape out and discard the seeds. Peel it off and cut it into 1 inch (aprox 2.5 cm) pieces.Heat butter in a large saucepan over medium heat. Add chopped onion and sauté for 5 minutes or until softened. Add pumpkin cubes and sliced fennel. Sauté for another 5 minutes. Pour in chicken broth and apple cider. Add also bay leaf and bring to a boil. Cover and simmer for 20 minutes or until squash is tender. Remove and discard bay leaf.Purée in batches and return the soup to saucepan. Add salt and pepper. If your soup is too thick, thin with more chicken broth as needed.Ladle into serving bowls and top with some fresh thyme and crumbled blue cheese.Serve right away.