Preheat the oven to 350°F (175°C). Grease an 8- or 9-inch loaf pan and line it with parchment paper, leaving an overhang on the sides for easy removal.
Zest the orange first, then squeeze the juice and set both aside. In a small bowl, combine the sugar and orange zest. Rub the zest into the sugar using your fingers to release the citrus oils and enhance the flavor.
In another bowl, whisk together the milk, fresh orange juice, and vanilla extract. Add the orange-zest sugar mixture and stir until well combined.
Whisk together the flour, baking powder, baking soda, salt and add the dry ingredients to the milk-orange mixture. Mix until combined.
Add the melted butter and oil to the batter and mix until fully incorporated and smooth.
Transfer about one-third of the batter to a separate bowl.Add the sifted cocoa powder with water then stir to create the chocolate batter.
Pour the batter into the prepared loaf pan, alternating between the orange and chocolate batters. Start with the orange batter followed by the chocolate batter, aiming for about two layers of each flavor.
Gently tap the pan on the counter to level the batter. If desired, lightly swirl with a knife to create a marble effect. I did not swirl the batter.
Bake for 45–50 minutes, or until the top is set and a toothpick inserted into the center comes out clean. The loaf will have a crust when freshly baked, which will soften as the cake cools. The flavor deepens even more the next day.
Let the cake cool in the pan for about 25 minutes, then liftit out using the parchment overhang and transfer to a wire rack to cool completely.
Store in an airtight container or wrap in foil to keep the loaf moist for 2–3 days at room temperature or up to 7 days in the refrigerator.