In a medium saucepan, combine the heavy cream, granulated sugar, cocoa powder, and a pinch of salt. Whisk together over medium heat until the mixture is smooth and the sugar is dissolved, about 3-5 minutes.
Remove the saucepan from heat and stir in the freshly squeezed orange juice, orange zest, and vanilla extract until well combined.
Pour the mixture into individual serving cups or ramekins. Allow to cool at room temperature for about 30 minutes.
Once cooled, cover the cups with plastic wrap and refrigerate for at least 4 hours or until set.
Serve chilled, garnished with additional orange zest or chocolate shavings if desired.