1. In a large bowl whisk eggs. Add milk, club soda, sugar, rum, vanilla, and salt, blending until sugar dissolves. Gradually sift in flour to form a batter. Add olive oil. Stir in orange and lemon peels.
2. In a 6- to 7-inch nonstick pan over medium-high heat, heat 1 tablespoon vegetable oil, pouring off the excess. Pour a scant 1/4 cup of batter into pan, tilting it to distribute batter as evenly as possible. Return pan to heat, reduce heat to medium and cook crepe until lightly browned, 30 to 40 seconds. Carefully flip crepe with a spatula and cook the second side until brown spots appear, about 30 seconds more. Transfer crepe to a warmed platter. Repeat with remaining batter, re-oiling the pan only as necessary. Stack the finished crepes and keep warm under a mixing bowl.Make chocolate-walnut filling::
3. Melt chocolate in the top of a double boiler over hot (not boiling) water. Stir chocolate to melt evenly. Remove from heat and stir in 1/2 cup of walnuts.
4. Spread a generous tablespoon of the chocolate mixture over half of a crepe. Fold the other half over the chocolate, then fold crepe in half again to form a triangle. Repeat.
5. To serve, arrange four crepes on each plate. Dollop with whipped cream and sprinkle with remaining walnuts and confectioners sugar. Serve immediately. Makes 9 servings.