Electrolysis with baking soda solution, a penny as the cathode and graphite for the anode
Yes, I agree you are getting hydrogen an oxygen as you expected.
However, the copper anode is undergoing anodic corrosion and forming CuO (which is characteristically black) and possibly also some Cu2O (yellow or red, depending on the size of the particles, where the color combination could be described as orange).
Now, in the presence of HCO3- and O2, a naturally occurring mixed salt, copper patina (which forms on the copper roofs of houses) could also be forming. Wikipedia on patina, to quote:

patina is a coating of various chemical compounds such as oxides, carbonates,... formed on the surface during exposure to atmospheric elements (oxygen, rain, acid rain, carbon dioxide,...

Patina has been described as a blueish-greenish naturally forming on a copper surface (here, your copper penny electrode).
A closely related version of your electrolysis experiment has been previously discussed elsewhere.