While the orange zest offers delicious flavor, it can curdle the whipped cream slightly if left to sit. If that is a concern, then omit the orange zest.
Mix together 1/2 cup of the heavy cream and the mascarpone cheese in a medium bowl to lighten it. Stir in the rum and orange zest, if using. Set aside.
Pour the remaining 1 1/2 cups cream into the bowl of a standing mixer fitted with a whisk attachment and start to whip on low, slowly adding the sugar when the cream is at soft peaks. Turn off the mixer before it reaches stiff peaks.
Gently fold in the lightened mascarpone and the chopped chocolate.
Transfer the filling to a piping bag fitted with the star tip.
Pipe into cannoli shells and serve immediately.