Preheat the oven to 250F.
Put the rice into a blender or food processor and pulse until most of the grains are cracked, but not so much that the rice is pulverized.
Combine the rice, coconut milk, and coconut sugar in an oven-safe pan or casserole.
Using a vegetable peeler, take strips of peel off the lemon (avoiding going too deeply. You don't want the white pith). Add the strips to the pot, along with a pinch of salt.
Place the pan in the oven and cook for 2 to 2 1/2 hours, stirring every half hour or so.
The time is up when you try a few grains of rice and they're all tender (careful, it will be hot).
Remove the pot from the oven. The pudding will still be a little liquidy, but it will thicken as it cools.
Serve with a dollop of jam, fruit butter, or leftover cranberry sauce.