Bake the spaghetti squash, pricked with a knife, on a baking sheet in a preheated 400 degree F. oven for 45 to 50 minutes, or until it is tender and let it cool. Halve the squash lengthwise, remove the seeds and center strings, and with a fork scrape the flesh from the skin into a buttered 13- by 9-inch baking dish. Season the squash with salt and pepper.
In a saucepan melt the butter, stir in the flour, and cook the roux over moderately low heat, stirring, for 3 minutes. Add the broth in a stream, whisking vigorously until the mixture is smooth. Add the bay leaf and salt and pepper to taste and simmer the sauce for 20 minutes. Stir in the turkey, the cream, and the Madeira wine, bring the liquid to a boil, and simmer the mixture for 5 minutes. Add 1/3 cup of the Parmesan cheese, the lemon juice, and nutmeg and salt and pepper to taste. Discard the bay leaf.
Spoon the turkey mixture over the spaghetti squash and sprinkle it with the remaining Parmesan and bread crumbs. Bake the dish in a preheated 350 degree F. oven for 25 to 30 minutes, or until the sauce is bubbling and the top is golden.