1. Preheat oven to 400 degrees F.
2. In a small saucepan, heat oil and butter over low heat just until butter melts. Brush both sides of the bread slices with butter mixture and place on a baking sheet. Bake for 5 to 7 minutes per side, until golden brown.
3. In an ungreased 9-inch square baking dish, overlap toasted bread slices. Reduce oven temperature to 325 degrees.
4. In a medium saucepan, whisk cocoa and salt. Gradually whisk in milk. Bring to a bare simmer over low heat. Remove from heat, add chocolate and whisk until it melts.
5. In a medium bowl, whisk eggs, brown sugar and vanilla until blended. Gradually whisk hot chocolate mixture into egg mixture. Pour custard over bread in baking dish. Let stand for 15 minutes.
6. Set baking dish in a roasting pan and place in the oven. Add boiling water to the roasting pan to reach halfway up sides of baking dish. Bake pudding for 20 to 25 minutes, or until just set. (It should still jiggle slightly in the center.) Remove baking dish from roasting pan and cool on a wire rack for about 20 minutes. Serve warm with Custard Sauce.
CUSTARD SAUCE
1. In a small heavy saucepan, combine milk and orange zest. Bring almost to a simmer over low heat. Remove pan from heat, cover and let stand for 30 minutes.
2. In a bowl, whisk egg, sugar and flour until smooth.
3. Rewarm milk over low heat until steaming. Gradually add milk to the egg mixture, whisking constantly. Return mixture to saucepan.
4. Cook sauce over low heat, stirring constantly, until thick enough to coat the back of a spoon, 7 to 8 minutes. (Do not allow sauce to come to a simmer.) Remove from heat.
5. Pour sauce through a fine-meshed sieve into a bowl. Discard orange zest. Stir in Grand Marnier. Place plastic wrap directly on the surface of the sauce and refrigerate until cold, about 2 hours. (The sauce will keep, covered, in the refrigerator for up to 2 days.)