Cut pumpkin flesh into big cubes. Remove the seeds from the orange and lemon slices. Combine the pumpkin, orange and lemon in a mixing bowl.
Split the vanilla pod and scrape the seeds into the pumpkin, orange and lemon mixture, distributing them evenly (or add the essence). Cover with the sugar, wrap with cling film and keep in the refrigerator overnight.
Transfer contents to a pot and simmer around 1 hour over a low fire, stirring from time to time. Pour the hot jam into a jam jar, seal and turn the jar to stand upside down in order to create a vacuum. When it is almost cold, place in the refrigerator. The jam can keep for a couple of months in the refrigerator.
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