Remove peel from orange using a sharp knife or vegetable peeler; set aside. Squeeze juice from the orange; add water, if necessary, to equal 1/3 cup. Set aside.
To make the spice bag, place orange peel, cinnamon, and cloves in a double layer square of cheesecloth. Bring up corners; tie with string. If you don't have cheesecloth, just put it in the liquid(below) and strain after heating.
In a large saucepan combine orange juice, spice bag, water, milk, brown sugar, cocoa powder, and coffee crystals. Bring to boiling; remove from heat. Cover and let stand for 10 minutes. Remove spice bag. Stir in vanilla or rum extract.