Mix together flour and butter into small lumps. Add Marsala, mix and add water to form dough. Wrap in plastic and let rest. Cut into pieces and pass through a pasta machine in widest setting, dust with flour and change setting 1 at a time and pass until 1/8 - inch thick. Cut dough according to cannoli tube size. Roll around tube, brush with egg and deep- fry at until 350 degrees until golden. Let cool and fill with cream.
For the Cream Filling: Combine all ingredients, as desired, in a bowl, fill shells, dust with sugar.