Combine water, vanilla, butter, sugar, salt, and orange zest in a medium saucepan and bring to a simmer, stirring until butter is melted. Transfer mixture to the bowl of an electric mixer and add flour. Mix on medium-low speed until flour is incorporated and mixture begins to cool down, about 10 min. Add eggs one at a time; the mixture will break apart as you add each egg but will become smooth again once the egg is incorporated. Once eggs are incorporated and dough is smooth, remove bowl from mixing stand.
To get ready for frying, heat about 2 inches of vegetable oil to 350 degrees in a heavy bottomed pot. Set a baking sheet lined with paper towel next to the stovetop. Set the cinnamon sugar in a wide bowl and set that next to the baking sheet.
Oil a 1-ounce ice cream scoop and scoop balls of donut batter into the hot oil. Fry the dough balls until golden brown on all sides. Remove one and test to make sure that the center is cooked and then remove the rest. Fry in batches, about 8 min. per batch. Use a slotted spoon to transfer fried dough balls to the paper towl baking sheet. Once cool enough to handle (but still warm) roll the donuts in cinnamon sugar.
For chocolate sauce:
Bring milk and sugar to a simmer, whisking to dissolve sugar. Turn heat to low and whisk in cocoa powder, corn syrup, and chocolate chips. Stir until mixture is smooth. Remove from heat and drizzle over donuts or serve alongside for dipping.