- In a bowl, combine the egg, egg yolk, Marsala, vinegar, and water. Set aside.
- In a food processor, combine the flour, icing sugar, cocoa powder, cinnamon, and salt. Add the lard and mix thoroughly. Add the liquids and pulse until the dough forms into a ball. Add water, if needed.
- On a work surface, knead the dough for 2 minutes. Cover with plastic wrap and let rest for 1 hour in the refrigerator.
- Heat the oil in the deep fryer to 190 °C (375 °F). Line a baking sheet with paper towel.
- On a floured work surface, divide the dough into four pieces and shape into rectangles to facilitate running through the pasta machine. Roll a rectangle of dough at a time, dusting with flour if it becomes sticky, up to thickness number 5. Place the rolled out dough rectangles onto the floured surface.
- Cut into 10-cm (4-inch) squares. Wrap the dough around a cannoli mould. Layer 2 corners and stick together by brushing one side with the beaten egg white.
- Fry 1 or 2 cannoli at a time for 1 to 2 minutes or until golden brown. Drain on the paper towel. Unmould the cannoli while still hot. Repeat with the remaining dough. Let cool completely.
- In a bowl, combine all the ingredients. Place in a pastry bag fitted with a large tip.
- Stuff the cannoli with the cheese mixture. Dust with icing sugar before serving. Stuffed cannoli will keep fresh for a few hours (about 4 hours).
The fried dough freezes well.
You can make the cannoli and filling in advance and stuff them at the last moment.