For the zeppole: Place a large, wide pot filled with 2 inches of oil over medium-high heat and bring to 340 degrees F on a deep frying thermometer.
Meanwhile, whisk together the flour, granulated sugar, baking soda, salt and cinnamon in a large bowl. Add the ricotta, orange zest, vanilla and eggs and stir until just combined.
Working in batches, carefully add small spoonfuls (about 1 tablespoon) of the batter to the hot oil and fry until puffed and golden brown all over, 1 to 2 minutes per batch; transfer to a paper-towel-lined baking sheet to drain. Return the oil to 340 degrees F between batches.
For the dipping sauce: Add the brown sugar, butter and half-and-half to a medium saucepan over medium heat. Stir to combine, then cook until the sugar is melted and the mixture starts to thicken, about 2 minutes. Add the Marsala and cook, stirring, until reduced, about 5 minutes, or until the desired consistency is reached.
Dust the zeppole generously with confectioners' sugar and serve warm with the dipping sauce.