Preheat oven to 375ºF and grease a square baking dish.

Melt the butter in a medium skillet over medium heat. Add the fennel, onion, and a pinch of salt. Stir well and cover; cook for 5 minutes, or until softened. Remove the lid and cook for about 3 minutes more, or until the fennel and onion are nicely browned.

Layer half of the butternut squash slices in the baking dish. Season with salt and pepper, then sprinkle with 1/2 cup of the cheese and spread the onions and fennel over the cheese. Top with the remaining butternut squash; season with salt and pepper, pour the cream over the squash, and then top with the remaining cheese and panko. Use an oil mister or cooking spray to lightly spray the panko topping so it browns.

Bake the gratin for about an hour, or until the panko is browned, the sauce is bubbly, and the squash is tender. Let it sit for about 10 minutes before cutting and serving.