I tried these at Victor's Tavern when I was a kid in Surry Hills, Sydney, Australia. The recipe is from the Australian Women's Weekly Italian cookbook. NOTE - The prep time includes the time for the pastry to rest twice.
Sift 1 cup of the flour into bowl, add egg yolks and rub until mixture resembles fine breadcrumbs. Refrigerate 2 hours. Add remaining sifted flour, lightly beaten egg, lemon rind and Marsala; mix well. Turn mixture onto lightly floured surface and knead 10 to 15 minutes. Cover with plastic wrap and refrigerate 1 hour.
Cut pastry into four pieces. Roll out each piece to paper thinness. (This is important; if the pastry is too thick, it will not be crisp, with the characteristic " bubbles", when deep-fried) If you have a pasta machine, roll pastry through three times, adjusting the machine to roll pastry thinner each time. Measure the length of the cannelloni shells, then cut pastry into strips about 1/4in narrower than shells. put shell at one end of pastry, roll pastry round, then cut so about 1/2in overlaps. Brush this cut end with egg white, press firmly into position. Do not get egg white on shell or it will stick to the pastry and be hard to remove. (Once this first length of pastry is determined, the other strips of pastry can be cut to the same size.)
Place Cannoli - about four at a time - into hot oil; fry until golden brown, approximately 1 minute. Remove cannoli from oil, place on absorbent paper, let cool about 1 minute. Then (use a clean tea-towel for this, as shells are hot) carefully remove cannelloni shell from inside pastry. Let pastry shells cool completely; they become crisp when cold.
FILLING - Place cheese in bowl of electric mixer, add sifted icing sugar, beat on high speed 5 minutes. Place cinnamon sticks in blender, blend on high speed 60 seconds or until powdery, you will need 2 1/2 tablespoons of cinnamon. Add lemon zest, mixed peel and cinnamon to cheese beat further 3 minutes. Spoon filling into large piping bag fitted with plain tube. Pipe into Cannoli shells. Roll in sifted icing sugar, dip ends in finely chopped or grated chocolate. Store in airtight container in the fridge.