In a large bowl or in the bowl of a stand mixer, whisk together molasses, yeast and water. Let sit until foamy.
Add rye flour, bread flour, shortening or butter and salt to the yeast mixture, stir to incorporate either with a wooden spoon or the dough hook attachment in a stand mixer on low speed.
To knead by hand: place dough on an unfloured surface and knead until dough is smooth and elastic and tacky but not sticky, about 5-6 minutes.
Divide the dough in half, leaving ½ in the stand mixer. Increase the speed to medium (or as close to medium as your mixer will tolerate with a stiff dough), and knead with the dough hook attachment until dough is smooth and elastic and tacky but not sticky, about 3-4 minutes. Place in a lightly oiled bowl and cover with plastic. Set aside to proof.
Place the other half of the dough in the stand mixer. Add the cocoa powder dissolved in water, mix on the medium-low speed to incorporate and develop gluten. I just took my dough out after the cocoa powder had mixed it. It took 4 minutes. Place in a separate, lightly oiled bowl, and cover with plastic.
Let rise until doubled, about 1 ½ hours.
When both doughs are risen, punch doughs down gently to degas, remove from bowls and place on an unfloured surface. Divide each piece equally into fourths; roll out each piece into a 10-inch log. Connect 4 strands of alternating colors (1 light, 1 dark, 1 light, 1 dark) at one end with the sealed end away from you and the strands separated out in front of you.
Number the strands from left to right — 1, 2, 3, 4 — then follow this pattern: 3 over 2, 1 over 3, 2 over 3, and 4 over 2 until you run out of dough. You can follow the pictures, or if you would prefer, follow the sequence instead, and renumber the strands. Pinch the other ends together and place the braid in a lightly greased 9-by-5-inch loaf pan. Repeat with remaining dough to form 2 loaves.
Lightly mist tops of loaves with cooking spray and cover lightly with plastic wrap. Let rise until doubled, about 45-60 minutes.
Preheat oven to 350 degrees F. When loaves have doubled, brush lightly with egg wash and bake on center rack of oven until golden brown and baked through, about 45 minutes, rotating loaves 180 degrees halfway through baking.
Remove loaves from oven and loaf pans and let cool completely on a cooling rack before slicing.