Answer: There is indeed a double flowered daylily as you described. It is called Hemerocallis fulva "Kwanso" or occasionally "Flore Pleno" and is naturalized in many areas. This one along with the single orange (or Tawny) daylily (H.fulva) is included in the parentage of most of the hybrids today, including a number of "doubles".
Specialty daylily suppliers such as Oakes Daylilies generally carry a selection of modern hybrid doubles. You might enjoy their catalog and collector's listing which includes a good many. Their address is 8204 Monday Rd., Corryton, TN, 37721 Phone: 1-800-532-9545. Their web site at http://www.oakesdaylilies.com/about.htm also has photos of a few.
Some forms of the species including the most common single orange, H.fulva "Europa", set only fertile pollen rather than seeds so that could explain why you haven't seen any pods. These daylilies spread aggressively by rhizomes so perhaps you had a Kwanso rhizome mixed in with the others. What fun!
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