In a medium saucepan, heat olive oil over medium heat. Add garlic and onions, sautéing until fragrant and translucent, about 5 minutes. Stir in pumpkin purée, coconut milk, nutritional yeast, paprika, sage, salt, and pepper. Simmer for 8–10 minutes, stirring occasionally. If the sauce is too thick, thin it out with a splash of veggie broth or water.