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.

Knead the dough 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.

Divide cannoli dough into three balls and pass each through progressively thinner settings of a pasta machine until the thinnest setting is achieved.

Cut out 4 to 5-inch circles from the dough. Roll circles around cannoli tubes, sealing edges with egg white.

Heat oil to 375°F (190°C). Fry cannoli shells until golden, around 2 to 3 minutes. Place on cooling racks over paper towels.

Twist tubes to remove cooled shells. Refrigerate unfilled shells or store in airtight containers for up to 2 months.

Mix ricotta cheese and confectioners' sugar together in a bowl. Fold in chocolate and lemon zest.