Preheat oven to 375 degrees. Cut acorn squash in half lengthwise. Scoop out seeds and discard.
In a small bowl or teacup, whisk together 2 tbsp of the oil with the lemon juice and sea salt to taste. Using the rosemary sprig as a basting brush (or a regular basting brush if you don't have rosemary on-hand), baste all exposed flesh of the squash, including the cut edges. Gently place squash halves into a large glass dish with the cut sides up. Being carefull not to get any onto the cut surfaces of the squash, pour water into the dish so that the squash haves are sitting in a pool about 3/4" deep. Place dish into the preheated oven and bake for 25 minutes.
Meanwhile, heat the remaining 2 tbsp of the oil in a large stainless steel skillet over medium heat. While the oil heats, chop the onion and okra as directed and use a vegetable peeler to slice a thin layer of the rind off of the orange. Transfer rind to a cutting board and cut into 1/4" dices. Whisk the spices together in a small bowl or tea cup and then toss with the okra slices in a medium-sized mixing bowl.
Once oil is hot, add the onion and saute 2-3 minutes, until just beginning to soften. Add orange rind pieces and continue to saute, stirring constantly, until orange pieces glisten brightly and begin to curl, and onion pieces are turning translucent. Add the okra and spice mixture and continue to saute for 2-3 minutes more, stirring to combine thoroughly.
When the acorn squash has baked for 25 minutes on its own, carefully spoon the okra mixture into the 'bowls' of the squash and return to the oven. Bake 30 minutes more or until the flesh of the squash can be pierced easily with a fork and the okra is no longer crunchy.
To serve, carefully remove each half squash from the water and transfer to a serving plate. To serve as a side dish, slice each side in half lengthwise and serve on warmed plates, spooning the okra mixture back on top. For a vegetarian main course, carefully transfer entire half to a bowl and serve with a spoon.