1. Combine water, butter, sugar and salt in a medium pot and bring to boil over medium heat.
2. Turn off heat and add flour and orange zest, all at once. Stir briskly until a dough ball forms.
3. Turn into a large bowl or mixing bowl. Let cool 5 minutes.
4. Whisk eggs and vanilla in a small bowl. Using a hand mixer at medium speed, add half the egg mixture to the dough. Add remaining egg and beat until smooth.
5. Fill a piping bag (with a 1/2-inch star tip) with dough.
6. Squeeze 3 to 4-inch churros onto parchment paper. Freeze for 45 minutes or until hard.
7. Manually set the Air Fryer: Temperature: 400°F / Time: 6 minutes.
8. Check at 6 minutes; churros should be a crispy, golden brown.
9. While still warm, gently roll with Cinnamon Sugar. Enjoy hot churros dipped in chocolate sauce.
10. Prepare Chocolate Orange Dipping Sauce: Combine the cream, corn syrup, sugar and orange zest, and sugar in a medium saucepan. Simmer until the sugar is completely dissolved and the liquid is slightly reduced, about 3 minutes.
11. Remove the saucepan from the heat, remove orange zest.
12. Add the orange extract and chopped chocolate. Allow to stand until the chocolate is melted.
13. Whisk the mixture until smooth. Add Grand Marnier. Keep warm for serving.