Preheat the oven to 200ºC. Pour the rum into the custard. Zest the lemon into the custard and mix well. Tear up the doughnuts into halves and quarters and put them into a large mixing bowl. Pour over half of the custard and toss everything together. Transfer everything to a baking dish. Pour over the remaining custard, leaving some of the doughnuts exposed and generously scatter the sugar over the whole dish.
Bake for 20 minutes, until the sugar and exposed doughnuts have browned and everything is bubbling. Serve in the middle of the table and let everyone dig in for maximum effect.