To make the shells: Mix together the dry ingredients and cut in butter with 2 knives. Add the Marsala and shape the dough into a ball. Wrap tightly in plastic wrap and refrigerate for at least 20 minutes.
Heat 2 quarts canola oil in 3 1/2-quart pot to 360 to 375 degrees F.
To make the filling: In a mixing bowl, stir together the ricotta, chocolate chips, vanilla, sugar and lemon juice. Mix until well combined. Spoon the filling into a pastry bag with an open tip, and place the bag in the refrigerator.
Remove the dough from the refrigerator and divide into 4 equal pieces. Using a rolling pin, roll 1 piece onto flat surface until it measures 1/16-inch thick. Using a cookie cutter or a sharp knife, cut the dough into 4-inch circles. Using a rolling pin, elongate the circles into ovals. Wrap the ovals lengthwise around the metal cannoli tubes. Using your fingertips, seal the edges shut with egg whites. Use your fingers to flare the ends open. Working in small batches, carefully lift the cannoli shells and place them in the hot oil. Fry the shells until golden brown on both sides, about 2 to 3 minutes. Using a slotted spoon or spatula, remove the finished shells to a plate lined with paper towels. Drain on paper towels as they cook. Allow to cool. When the shells are cool enough to touch, carefully twist the molds away from shells. Shells may be made 1 day in advance and rest unfilled and uncovered. When ready to eat, stuff cannoli with ricotta cream, dust with powdered sugar and orange zest.