For the Filling
3 cups fresh ricotta , (preferably water buffalo)
½ cup confectioners' sugar
¼ cup candied orange peel, finely diced
¼ cup candied lemon peel, finely diced
¼ cup chocolate chips, or bittersweet chocolate chopped in small pieces
3 tablespoons Grand Marnier, or other orange flavored liquor
For the Zeppole
1 cup water
4 tablespoons unsalted butter
1 tablespoon sugar
½ teaspoon salt
1 cup unbleached flour, sifted
4 large eggs
1 teaspoon orange peel, grated
1 teaspoon lemon peel, grated
6 cups vegetable oil, (if frying the zeppole)
A day before preparing the filling: Line a sieve with a double thickness of cheesecloth or a basket-type coffee filter. Place the ricotta over the cheesecloth and the sieve over a bowl. Cover with plastic wrap and refrigerate overnight or up to one day. Discard the liquid that drains into the bowl.
Combine the drained ricotta and 1/2 cup confectioners' sugar in a food processor. Process until creamy. Add Gran Marnier and process until incorporated. Scrape the ricotta mixture into a bowl and stir in the candied fruits and chocolate chips. Store covered in the refrigerator until needed, up to 2 days.
In a large, heavy saucepan, bring the water, butter, sugar and salt to a boil. Add the flour all at once, and beat vigorously with a wooden spoon over medium heat until the dough leaves the sides of the pan and forms a ball around the spoon. Remove from heat and quickly beat in 1 egg at a time, beating until batter is smooth after each addition. Add the orange and lemon zest and continue beating until mixture is smooth and glossy.
For the fried version: In a heavy, 3-quart pot, heat the vegetable oil until a deep-frying thermometer registers 350 degrees F. Carefully drop rounded tablespoonfuls of the batter into the oil, about 6 at a time. (There should be enough room in the pot for the zeppole to float freely.) Fry, turning the zeppole as necessary, until golden brown on all sides, about 6 minutes. Adjust the heat under the pot to maintain the temperature of the oil as the zeppole fry. Remove with a skimmer and drain on paper towels. Repeat with the remaining batter allowing the oil to return to 350 degrees F before continuing, if necessary.
For the baked version: Preheat the oven to 425 degrees F. Drop the batter by rounded tablespoonfuls onto a lightly greased or non-stick baking pan. Bake until evenly and lightly golden brown, about 20 minutes. Reduce the oven temperature to 350 degrees F and continue baking until medium golden brown and a zeppole feels very light when picked up from the baking sheet, about 15 minutes. Transfer to a rack and cool.
Cut the zeppole in half, leaving it attached on one side. Spoon the filling into the zeppole, dividing evenly. Dust the tops of the zeppole with remaining confectioners' sugar and serve at room temperature or chilled, if you prefer.