Preheat oven to 350 degrees. Prepare one 9 inch Bundt pan or fluted tube pan; generously grease the pan with shortening and dust with flour.
In a medium mixing bowl, combine flour, cocoa, baking powder, baking soda, salt, and cinnamon; whisk together to mix. Set aside.
In a small mixing bowl, stir the milk and vanilla together. Set aside.
In a large bowl of an electric mixer, cream the butter, orange zest, and sugar until light and fluffy.
Tip: To cream, start by placing the butter and orange zest in the bowl, with an electric mixer on medium speed begin by beating the butter and orange zest about 1 minute until it is smooth and light in color. If creaming by hand with a wooden spoon, use the backside of the spoon and move your arm in a circular motion to spread the butter over the bottom and up the side of the bowl. Move your arm quickly to beat or “whip” the butter.
With the mixer still on medium speed, slowly add the sugar to the butter, either one tablespoon at a time, or in a very slow steady stream, taking from 4 to 8 minutes to add all of the sugar, and beating until the butter and sugar are fully incorporated and the mixture is a light, or pale yellow color, with a fluffy texture. While adding the sugar, stop the mixer occasionally to scrape the mixture off the paddle and scrape down the sides and bottom of the bowl with a rubber spatula so the mixture blends evenly.
Add eggs one at a time, beating until thoroughly mixed.
Tip: For each egg, crack the egg into a small bowl and whisk with a fork to thoroughly break up the egg before adding to the creamed mixture. Start with the mixer on low speed so the liquid from the egg doesn't’ splatter, once the egg is partially mixed increase the speed to medium. Each egg should be fully incorporated into the mixture before adding the next egg, taking about one minute to blend in each egg.
Add grated zucchini, gently stir to mix.
With the mixer on low speed, add about one third of the flour mixture, mix just until the flour is almost completely blended. Scrape the bowl down, and add about one half of the milk mixture, blending just until mixed. Scrape the bowl down again and continue alternating with the flour mixture and milk mixture, ending with the last portion of the flour, and stirring just until blended, include the chopped nuts with the last flour addition.
Spoon the batter into the prepared pan and smooth the surface with the back of a large spoon. Bake 60 minutes or until a long toothpick, wooden skewer, or cake tester inserted in the center comes out clean. Remove from oven and place pan on a wire cooling rack to cool for 15 minutes then remove cake from the pan and place the cake on the wire cooling rack to finish cooling.
Using a fine-mesh sieve, dust the top of the cake with confectioner’s sugar.