In a shallow 3-4 quart casserole, combine broth, rice, pumpkin, lemon peel, and ground nutmeg. Stir to mix well. Bake in a 400-degree oven until liquid begins to be absorbed (about 20 minutes). Stir again; then continue to bake, stirring often, until rice is tender to bite and mixture is creamy (about 25 more minutes). Stir in shredded cheese.
To serve, transfer to a serving dish; garnish with cheese curls. If desired, sprinkle lightly with freshly grated nutmeg.