The preparation of an artificial superatom consisting of a positive charge inside a superfluid helium nanodroplet and an electron in an orbital surrounding the droplet is of fundamental interest and represents an experimental challenge. In this work, nanodroplets of several thousand helium atoms are doped with single caesium (Cs) atoms. While on the droplet, the Cs valence electron is excited in two steps through an intermediate state into nS, nP, and nD states. The excitation is monitored by laser induced fluorescence or, for high principal quantum numbers, by resonant three-photon-ionization. On-droplet Rydberg excitations are resolved up to about n = 20. The energies are compared with those of free Cs atom Rydberg states and quantum defects as well as the on-droplet ionization threshold are derived.