Heat olive oil in a large (12-inch skillet or saute pan over high heat. Preheat oven to 375 degrees.
Add the peppers and onions to the skillet and saute, stirring often, for about 5 minutes. Add the garlic and saute quickly being careful not to burn the garlic (only needs about 30 seconds. Add anchovy paste to skillet.
Lower the heat to medium and continue cooking until the onions are translucent and the peppers are soft (about another 10 minutes).
While the peppers are cooking cut the squash in half and place on baking sheet flesh-side down. Cook squash at 400 degrees for about 30 minutes.
Season to taste with salt and pepper.
Check to see if squash is done by poking flesh with a fork and if it gives easily it is done.
Serve squash as a bed topped with pepperonata and provide Romesco sauce on the side to top off the saute. You could also serve the squash as a side dish without the pepperonata on top, and then just use the Romesco as a topping for the squash alone as an enhanced side dish.