For the shells: Combine the flour, cinnamon, sugar, and salt in a bowl. Work in the lard and slowly add the marsala. Knead together with fingers until the dough comes together. Turn out the dough onto a lightly floured surface and knead until smooth and elastic, 5 to 7 minutes. Form the dough into a disk and wrap tightly in plastic wrap. Let stand at room temperature 1 hour.
Set the smooth rollers of a pasta maker at the widest setting. Unwrap the dough and cut in half. Lightly flour 1 half (keep the remaining half covered with plastic wrap). Flatten the floured dough into an oval and feed through the rollers. Turn the dial down 2 notches and feed the dough through the rollers again. Fold the dough back to its original oval shape and repeat the process of putting the dough through the pasta rollers. Continue to feed the dough through the rollers, making the space between the rollers narrower by 2 notches each time, until the dough reaches a thickness of roughly 1/8 inch.
Line a baking sheet with plastic wrap. Transfer the rolled dough to a lightly floured surface and cut out 4 or 5 rounds with a floured 4-inch round cutter. Transfer the rounds to a baking sheet and keep covered with more plastic wrap. Roll out the remaining dough and cut rounds in the same manner. Gather the scraps and let stand 10 minutes. Roll out the scraps and cut in the same manner.
Heat several inches of oil in a large Dutch oven until it registers 350 degrees F. Lightly spray the cannoli tubes with nonstick spray.
Brush the bottom edge of 1 dough round with the egg white. Wrap the dough around a tube, overlapping the ends (egg white edge should go on top), and then press the edges together to seal. Make 5 more shells in the same manner (keep remaining rounds covered with plastic).
Fry the dough on the tubes one at a time, turning with metal tongs, until it is one shade darker, about 45 seconds. Wearing oven mitts, clamp the end of the hot tubes with tongs, 1 at a time, and, holding the tube vertically, allow the shell to slide off the tube onto paper towels, gently shaking the tube and wiggling the shell as needed to loosen. (If you allow the shell to cool it will stick to the tube and shatter when you try to remove it.) Transfer the shells to paper towels to drain and cool the tubes before reusing. Wrap the remaining dough around the tubes and fry in the same manner.
For the filling: Combine the heavy cream and tangerine zest in a small saucepan and bring to a simmer over low heat.
Combine the sugar and tangerine juice in a medium saucepan and cook until deep amber colored. Slowly whisk in the cream mixture and cook until smooth. Transfer to a bowl and let cool and thicken slightly.
Combine the drained ricotta and cream cheese in the bowl of a mixer, add a few tablespoons of confectioners' sugar to sweeten, and beat until light and fluffy. Fold in the tangerine caramel sauce.
Fill a pastry bag fitted with a star tip and fill the cannoli shells. Dip the ends in the almonds and chocolate and dust with confectioners' sugar.