Recent studies have indicated that long non-coding RNAs (lncRNAs) may participate in the regulation of tumor cell proptosis. However, the connection between lncRNA expression and pyroptosis remains unclear in colon adenocarcinoma (COAD). This study aims to explore and establish a prognostic signature of COAD based on the pyroptosis-related lncRNAs. We identify 15 prognostic pyroptosis-related lncRNAs (ZNF667-AS1, OIP5-AS1, AL118506.1, AF117829.1, POC1B-AS1, CCDC18-AS1, THUMPD3-AS1, FLNB-AS1, SNHG11, HCG18, AL021707.2, UGDH-AS1, LINC00641, FGD5-AS1 and AC245452.1) from the TCGA-COAD dataset and use them to construct the risk model. After then, this pyroptosis-related lncRNA signature is validated in patients from the GSE17536 dataset. The COAD patients are divided into low-risk and high-risk groups by setting the median risk score as the cut-off point and represented differences in the immune microenvironment. Hence, we construct the immune risk model based on the infiltration levels of ssGSEA immune cells. Interestingly, the risk model and immune risk model are both independent prognostic risk factors. Therefore, a nomogram combined risk score, immune risk score with clinical information which is meaningful in univariate and multivariate Cox regression analysis is established to predict the overall survival (OS) of COAD patients. In general, the signature consisted of 15 pyroptosis-related lncRNAs and was proved to be associated with the immune landscape of COAD patients.