Melt coconut oil in large saucepan over medium-high heat. Add onion and peppers. Saute until softened. Add water. Bring to boil over high heat. Reduce to simmer. Stir in lentils. Cook 25 to 30 minutes or until lentils are tender.
Add ketchup, mustard, brown sugar, vinegar, salt and pepper. Simmer, stirring occasionally, for 10 minutes or until slightly thickened.