Preheat broiler and remove crust from the bread and cut into 1-inch cubes. Spread on a cookie sheet and broil until golden brown. Remove from broiler and then lower temperature to 350. Combine bread cubes and pineapple in a large bowl, mixing well. Spread into a 13x9x2-inch baking pan and drizzle with melted butter.
Warm milk in a saucepan over medium heat, being sure to not boil. Whisk in eggs, heavy cream, sugar, coconut milk, and rum. Remove from heat. Pour the custard over the bread mixture. Using a fork or spatula, press the bread into the liquid until well soaked and/or allow to sit for 10 minutes.
Bake 35-40 minutes or until pudding springs back in the center when pressed with a fingertip, but is still moist.
Serve immediately with vanilla rum sauce.