For the shells: In a food processor, combine the flour, sugar, cinnamon, and pinch of salt. Add in the butter and egg yolk. Pulse until the mixture looks like grated cheese. Add in the marsala and pulse. Add a few drops of water and pulse. Continue to do this until the mixture comes together in a ball. You may not need to add all of the water.
Dump the mixture out onto a clean work surface. Work the mixture gently into a ball and squish into a disk. Wrap in plastic wrap until ready to use.
Place the oil in a large, wide pot and bring to 350 degrees F over medium-high heat. Set a cooling rack over a sheet pan.
To roll the dough out by hand, dust a work surface lightly with flour. Cut the dough in half; start with half the dough and keep the other half covered until ready to use. Roll each half out to 1/8-inch thick.
If using a pasta roller, set the pasta roller on the widest setting (number 1). Use your hands to flatten the dough as much as you can to facilitate it going through the pasta roller. Run the dough through the roller twice, dusting it with flour in between rolls if it feels sticky, and then fold in half. (When rolling out pasta dough, always hold the pasta on the tops of your hands with your palms down. If you hold it fingers up you will create stretch marks). Move the roller to the next setting (number 2) and run the dough through. Continue to run the dough through the machine, reducing the opening (or moving the setting to the next largest number) in between every roll. Stop when you get to the correct thinness, this will be around number 5 on the dial, but every machine is different and you will have to be the judge of your own thickness.
Using a pastry wheel, cut the dough into 3-inch squares. Keep the squares covered until they are ready to be fried. Repeat this process with the other half of the dough.
Beat the egg white with 2 tablespoons of water.
Wrap the first batch of dough squares around metal cannoli tubes so that the points of the square overlap to close. Brush the overlapping points with the beaten egg white to seal shut and press to secure.
Fry the dough shells in the heated oil until they are brown and crispy, 3 to 4 minutes. Use tongs to remove the shells from the oil and drain on the cooling rack. When the shells and tubes have cooled enough to handle, gently slide the metal tubes out of the shells. Repeat the process with the remaining dough squares.
For the filling: In the bowl of a stand mixer fitted with the whisk attachment, combine the ricotta, sugar, cinnamon, and vanilla. Mix together until smooth and creamy. Stir in the chocolate chips and taste to make sure it is delicious. Place in a pastry bag with a large enough tip to allow the chocolate chips to pass through.
To assemble: Pipe the filling into the shells and sprinkle each end with a few more chocolate chips. Dust with powdered sugar. Do not fill them until you plan to serve them or the shells will get soggy.
Recipe courtesy of Anne Burrell