In 3-quart heavy saucepan, heat oil over medium heat to 350°F.
Meanwhile, in medium bowl, beat 3/4 cup of the whipping cream, the pudding mix and orange peel with electric mixer on medium speed until thick. Cover; refrigerate.
Place paper towels under cooking rack. Separate dough into 8 biscuits; cut each in half crosswise. Shape each piece into a ball. Gently place 4 to 5 balls at a time in hot oil. Cook 2 to 3 minutes or until golden brown. Remove to cooling rack to drain; cool 2 minutes.
Meanwhile, in 1 1/2-quart saucepan, beat mocha cappuccino hazelnut spread and remaining 1/2 cup whipping cream with wire whisk until well blended. Cook over medium heat, 3 to 4 minutes, stirring frequently, until warm.
To fill bomboloni, spoon pudding mixture into decorating bag fitted with 1/2-inch wide tip. Insert decorating tip in side of each ball; squeeze about 1 tablespoon pudding mixture into center.
Sprinkle bomboloni with powdered sugar. Serve with warm mocha cappuccino sauce.