Preheat the oven to 425 degrees F (220 C) with a rack in the center position. Line a sheet pan with aluminum foil. Place the carrots and onions on the sheet pan, drizzle with oil, Garam Masala, cayenne pepper, and salt. Toss the vegetables with your hands to evenly coat the vegetables. Spread into an even, thin layer.
Roast the carrots and onions until lightly caramelized and very fork tender, tossing them halfway through, about 25 to 35 minutes.
Place the coconut milk and 1 and 1/4 cups boiling hot water in a high capacity blender. If using a smaller blender, you may need to do this step in batches. Using the foil, transfer the roasted carrots and onions to the blender. Add the lime juice. Puree until desired consistency. Season the soup to taste with salt, pepper, and additional lime juice,if desired.