Shells: Place the flour on a work surface and make a well. Place eggs, yolks, butter, Marsala in the well and combine them with a fork. Gradually incorporate the flour, little by little. Knead the dough until smooth, about 10 minutes. Let rest, covered with a damp cloth, about 30 minutes in the refrigerator. Roll the dough very thin and cut into 4-inch squares with a pizza cutter. Grease 3/4-inch cannoli tubes and roll the dough around them, sealing the overlap with beaten egg white. Deep-fry them at 335 degrees F until golden brown. Cool and carefully slide them off the tubes.
Filling: Drain the ricotta overnight in a cheesecloth-lined colander in the refrigerator. The next day, place ricotta, sugar, orange rind, lemon juice, cinnamon, and vanilla scrapings in the food processor and blend until very smooth. Just before serving, pipe the filling into each shell with a pastry bag and large plain tip. Dip the ends in chopped pistachios if you like.
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