Preheat oven to 350 degrees. Lightly butter ten 5-ounce ramekins; set aside. Put rice and milk in a medium saucepan over medium-high heat. Cook, stirring occasionally, until milk is just about to simmer. Reduce heat to medium. Simmer gently, stirring occasionally, until rice is tender, 15 to 20 minutes. Remove pan from heat.
Meanwhile, whisk cream, sugar, egg yolks, salt, lemon zest, and nutmeg in a medium bowl. Pour the cream mixture into the rice mixture in a slow, steady stream, stirring constantly. Return pan to medium-high heat, and bring to a boil, stirring occasionally. Remove from heat. Using a ladle, divide rice mixture evenly among buttered ramekins, stirring mixture in pan each time to ensure an even distribution of rice and liquid.
Transfer ramekins to a large roasting pan or 2 baking dishes that are at least 2 inches deep. Slowly pour boiling water into pan to come halfway up sides of ramekins. Carefully place in oven. Cook, rotating pan halfway through, until puddings are almost set and tops are golden in places, 50 to 60 minutes. Carefully transfer ramekins to a wire rack. Let cool 10 minutes before serving. Serve warm, cold, or at room temperature. Spoon candied squash and its syrup on top of each pudding, dividing evenly; sprinkle with toasted walnuts.
Pudding can be stored in the refrigerator, up to 1 day.