Note: You cannot make the cannoli ahead of time or the shells will get soggy. Make the filling and shells in advance and fill just before serving.
Step 2: Shells
1 cup flour
1 1/2 T. sugar
1/2 t. unsweetened cocoa powder
1/4 t. cinnamon
1/4 t. sea salt
1/4 cup Marsala
1 1/2 T. vegetable oil
1/2 egg white, lightly beaten
Semi-sweet chocolate - for dipping
Chopped pistachios or shaved chocolate for garnishing the ends
Combine flour, sugar, cocoa powder, cinnamon, and salt in a medium bowl. Add the Marsala and oil and beat on medium speed until a smooth dough. Knead lightly by hand on a lightly floured work surface until smooth and elastic. Wrap in plastic and let rest for 30 minutes.
Divide the dough into 2 pieces. Roll out into a thin sheet of dough or use the widest setting of a pasta machine. Keep remaining pieces covered while working with dough. Keep passing the dough through the settings until about the thickness of a penny. Lay out on a floured work surface and cut out rounds with a 3 1/4 inch cutter (a small bowl works just fine). Gather up scraps and reroll.
Pour oil into a heavy saucepan or large skillet to 3-4 inches. Heat over medium heat until 380 degrees using a deep-fry thermometer.
Using cannoli tubes, wrap each round of dough around the tube and seal with just a dab of egg white. Fry until golden, about 1 minute. Using tongs, remove and place on paper towels to cool (about 5 minutes). Carefully slide the forms out and let the shells cool completely.