Preheat the oven to 350 degrees F and grease a 1 1/2-quart glass loaf pan.
In a large bowl, using a mixer, cream the butter with sugar at high speed until fluffy and pale yellow, about 5 minutes. Add in the eggs, vanilla, and orange zest. Mix in the yams, sour cream and orange juice.
In a medium bowl, sift together the flour, baking powder, baking soda, and 3/4 teaspoon salt. Slowly mix in the dry ingredients to the butter mixture, mixing on low speed until just incorporated. Spoon out 1/3 of the cake batter and place in a small bowl.
In a small measuring cup, make a thin paste of the cocoa, cayenne, and hot water, stirring until smooth. Pour into the small bowl of cake batter and stir just until well mixed. Pour half the (non-chocolate) yam batter into the prepared loaf pan. Spoon on the chocolate batter, and then finish by pouring the remaining yam batter on top. Use a butter knife to cut through the cake to create a marbling effect. Bake until the cake is firm and toothpick comes out clean, 55 to 60 minutes. Cool before slicing.