Heat milk in a medium saucepan over medium heat until steaming. Meanwhile, whisk egg yolks, sugar, cocoa powder, cornstarch, and salt in a medium bowl. Whisking constantly, gradually add milk. Return to saucepan and cook over medium-low heat, whisking constantly, until thickened and whisk leaves a trail, about 2 minutes.
Remove from heat and whisk in chocolate until melted and mixture is smooth. Transfer pastry cream to another medium bowl and press plastic wrap directly onto surface. Chill until set, at least 2 hours or up to 4 days.
Mix sugar and cinnamon in a small bowl. Dip 1 side of warm sufganiyot in cinnamon sugar; fill with chocolate cream.
