Preheat oven to 375ºF. Mist an 8-inch-square baking dish with cooking spray. Cook gnocchi as package label directs. Drain well and spread in prepared baking dish.
Melt butter in a small saucepan over medium heat. Stir in flour; cook, stirring, 1 minute. Whisk in pumpkin and milk. Cook, whisking, until very thick, about 5 minutes.
Whisk in cheese until smooth. Season with salt and pepper and pour over gnocchi. Bake until bubbling, 20 to 25 minutes.