Remove giblets from duckling. Combine giblets, duckling, water, celery, bay leaves, onion, and pepper in a large Dutch oven; bring to a boil. Reduce heat to low, and simmer 1 hour or until meat and vegetables are tender.
Remove duckling from broth; cool. Remove meat from bones; chop meat, and set aside. Strain broth, reserving broth in Dutch oven. Chop giblets finely, and set aside. Discard vegetables and bay leaves.
Sauté okra in hot shortening in a large skillet 10 minutes. Add green onion and chopped duckling; sauté an additional 5 minutes. Add to reserved broth, and simmer 1 hour.
Combine chopped giblets and rice. Serve gumbo over rice mixture, and sprinkle with chives.