01 -
Mix flour, sugar, and cinnamon together in a medium bowl. Cut in shortening until crumbly. Make a well in the center and add Marsala wine, water, vinegar, egg, and egg yolk. Mix with a fork until the dough becomes stiff, then finish kneading it by hand on a clean surface, adding a bit more water if needed for about 10 minutes. Cover with plastic wrap and refrigerate for 1 to 2 hours.
02 -
Divide cannoli dough into three balls. Flatten each one just enough to fit through a pasta machine. Roll a ball of dough through successively thinner settings until you have reached the thinnest setting. Dust lightly with flour if necessary. Place the sheet of dough on a lightly floured surface. Using a cutter or large glass, cut out 4 to 5-inch circles.
03 -
Dust the circles with a light coating of flour. Roll dough around cannoli tubes, sealing the edge with a bit of egg white. Repeat with remaining dough balls.
04 -
Heat oil in a deep fryer or deep skillet to 375°F (190°C). Fry shells on the tubes in hot oil, a few at a time, until golden, about 2 to 3 minutes. Use tongs to turn as needed. Remove shells carefully using tongs, and place them on a cooling rack set over paper towels. Cool slightly and twist the tube to remove the shell. Clean the tubes and repeat as needed.
05 -
Mix ricotta cheese and confectioners' sugar together in a large bowl until well combined. Fold in chocolate and lemon zest.
06 -
Transfer the ricotta mixture to a pastry bag and pipe into the shells, filling from the center to one end, then repeating from the other side. Dust with additional confectioners' sugar to serve, if desired.