Melt chocolate over a double boiler and dip half of each cannoli shell in the chocolate. Allow any excess chocolate to drip off then lay shells out on a silpat or waxed paper-lined tray to set while you prepare the filling.
For the filling:
Line a colander with cheesecloth, add the ricotta and let drain until very dry. Squeeze out any excess moisture in cheesecloth. Place the ricotta into the bowl of a stand mixer and beat on high for 5 to 7 minutes until light and fluffy. Add sugar, orange zest, chopped citron and vanilla extract, then mix on medium until just combined. Place the filling into a piping bag and fill chocolate dipped cannoli with the mixture. Serve as soon as possible.