In a large pot or Dutch oven, heat the olive oil over medium heat. Remove the casing from the chorizo and cut or crumble into about ½ inch pieces. Fry the chorizo in the hot olive oil until browned, stirring frequently. While the chorizo is browning remove the zest of the orange with a vegetable peeler (making strips) and juice the orange. Set aside.
Once the chorizo is browned, add the shallot and garlic and sauté for about 2 minutes. Add the clams, the zest and juice of the orange, the wine and bay leaf. Cover the pan and let steam until the clams are opened, about 5 minutes. Discard any clams that do not open. Taste the sauce and adjust seasoning with salt & pepper if needed. Top with chopped parsley and serve.