For the Orange Zeppole: In a medium saucepan combine the butter, salt, sugar, and water over medium heat. Bring to a boil. Take the pan off the heat and stir in the flour. Return the pan to low heat and stir continuously until the mixture forms a ball, about 4 minutes. Transfer to a medium bowl. Using an electric hand mixer on low speed, add eggs, 1 at a time, incorporating each egg completely before adding the next. Add the orange zest and beat until smooth. Set aside.
For the Orange Sugar: Place the orange zest and sugar in a food processor. Pulse the machine until the mixture is blended. Set the sugar into a wide and shallow dish. 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 F.
Using a small ice-cream scoop or 2 small spoons, carefully drop about a tablespoon of the dough into the hot oil. Turn the zeppole once or twice, cooking until golden and puffed up, about 5 minutes. Transfer the cooked zeppole to the dish with the Orange Sugar. Roll to coat in the sugar. Continue frying the remaining dough.
For the Chocolate Sauce: Heat the cream in a small saucepan until hot but not boiling. Pour cream over the chocolate and stir until the mixture is smooth. Transfer the Chocolate Sauce into a dipping dish. Serve the zeppole alongside the Chocolate Sauce for dipping.