Zeppole are little doughnuts that are sold on the street in Naples and at street fairs. They are usually served with a simple dusting of powdered sugar, but the combination of chocolate and orange in this version is just to die for. Eat these warm, because they become heavy and doughy once they cool (if they stay around that long!).
For the chocolate sauce, heat the cream in a small saucepan until hot but not boiling. Combine the cream and chocolate in a heat-proof bowl and stir until smooth.
For the orange zeppole, combine the butter, sugar, salt, and ½ cup water in a medium saucepan and bring to a boil over medium heat. Take the pan off the heat and stir in the flour. Return the pan to low heat and cook, stirring continuously, until the mixture forms a ball, about 4 minutes. Transfer the flour mixture to a medium bowl. Using an electric hand mixer on low speed, beat in the eggs, one at a time, incorporating each egg completely before adding the next. Add the orange zest and beat until smooth.
For the orange sugar, place the orange zest and sugar in a food processor. Pulse until the mixture is blended. Transfer the sugar into a shallow dish and set aside.
Pour enough oil into a large frying pan to reach a depth of 2 inches. Heat the oil over medium heat until a deep-fry thermometer registers 350 degrees Fahrenheit.
Using a small ice-cream scoop or 2 small spoons, carefully drop about a tablespoon of the dough into the hot oil. Make three more zeppole, being careful not to crowd the pan. Turn each zeppole once or twice, cooking until golden and puffed, about 5 minutes. Roll the cooked zeppoles with the orange sugar, then transfer to a plate. Continue frying the remaining batter in batches of 4.
Reheat the chocolate sauce if necessary, and serve in a small bowl with the zeppole.