Preheat oven to 400 degrees F (200 degrees C).

Brush inside surface of delicata squash halves with about 1 teaspoon olive oil; place on a baking sheet.

Bake in the preheated oven until tender when pierced with a fork, about 30 minutes.

Heat remaining 1 teaspoon olive oil in a skillet over medium heat; cook and stir apples and onion until onion is translucent, about 5 minutes. Stir garlic, rosemary, and cinnamon into apple mixture; season with salt and pepper. Reduce heat to low; continue to cook, stirring occasionally, until apples are tender, about 5 minutes.

Place bacon in a skillet and cook over medium-high heat, turning occasionally, until crisp, about 8 minutes. Drain bacon slices on paper towels.

Fill delicata halves with apple mixture; crumble bacon and goat cheese over apple mixture.