Line 2 or 3 large baking sheets with wax paper; dust liberally with flour.

Grate zest from orange and reserve. Juice the orange and pour into 1-cup measure; add water so juice measures 1 cup. Bring orange juice mixture, zest, butter and salt to a rolling boil over high heat in 2-qt saucepan; stir in flour all at once. Stir vigorously with a wooden spoon over low heat until mixture pulls away from sides of pan and forms a ball, about 1 minute; remove from heat.

Transfer mixture to large bowl of stand mixer. With mixer on medium speed, add eggs, one at a time, beating until a smooth paste forms. Spoon mixture into pastry bag; pipe twenty-eight 3-in. hearts onto baking sheets. Let air-dry 30 minutes. Carefully loosen each churro with floured fingers to make sure bottoms aren't sticking to paper.

Place chocolate, water and sugar in a small saucepan over low heat. Cook, stirring, until melted and smooth, about 3 minutes. Remove from heat; stir in butter, vanilla and cayenne, if desired. Keep warm.

Fill a deep 10-in. skillet with 1 in. oil. Heat oil to 350ºF. With floured fingers, lift churro hearts by the rounded tops and drop into oil (6 at a time). Fry until golden, turning, about 1 ½ minutes on each side. Lift with slotted spoon; drain on paper towels.

Place cinnamon sugar in a medium bowl. Toss warm churros in cinnamon sugar to coat. Serve with dipping sauce.