1. Pour the milk with the cocoa into a saucepan. Bring to a boil, whisking constantly. Remove from heat and let cool.
2. In a large bowl, whisk the egg yolks and sugar until the mixture is pale. Add the cocoa milk, whisking. Incorporate the cream and orange zest.
3. Preheat the oven to 275°F.
4. Pour the cream into 4 shallow gratin dishes. Bake for 30 minutes (the cooked cream is tremulous). Remove from the oven and let cool.
5. Just before serving, sprinkle each cream with brown sugar.
6. Pass under the broiler for 1 minute to caramelize the top (or burn with a small kitchen torch). Serve immediately.