To make the doughnuts, pour the milk into a pan and bring to the boil. Add the orange zest and essence, sugar and butter and leave to infuse for 10 minutes.
Tip in the flour and beat until set and the mixture comes away from the sides.
Take the pan off the heat and beat in the eggs and rum. Leave to cool for 1 hour.
Preheat a deep-fat fryer to 190C or heat a large heavy based pan filled half-full with oil until it reaches 190C on a cook’s thermometer. (CAUTION: hot oil can be dangerous. Do not leave unattended.)
Carefully spoon the batter into the hot oil. (CAUTION: do not allow the oil to get too hot as this may cause the churros to explode. Protect yourself from splashes of hot oil and keep your face away from the pan.) Fry for a few minutes until golden-brown. Remove with a slotted spoon and drain on kitchen paper, before dusting with caster sugar.
To make the chocolate sauce, melt the chocolate in a heatproof bowl set over a pan of barely simmering water, making sure the base of the bowl doesn’t touch the water.
Meanwhile, heat the milk and sugar in a separate saucepan. Stir the hot milk into the melted chocolate. Take off the heat and stir in the butter. Set aside and keep warm.
To make the custard, heat the milk and orange zest in a large saucepan. Beat the egg yolks in a large glass bowl and gradually pour in the warm milk. Pour the egg mixture back into the pan and heat, whisking, until thickened. Strain into a clean pan and keep warm.
To serve, spoon some custard onto dessert plates, pile up the doughnuts and spoon over some chocolate sauce. Gate some orange zest over and dust with icing sugar.