Step 1

To make the cannoli dough, process flour, sugar and butter in a food processor until mixture resembles fine breadcrumbs. Add whole egg, egg yolk and marsala. Process until mixture just starts to come together. Turn onto a clean lightly floured surface. Knead until just smooth. Wrap in plastic wrap and place in the fridge for 1 hour to rest.

Step 2

Meanwhile, to make vanilla custard, bring milk almost to boil in a saucepan over medium heat. Remove from heat. Use an electric beater to beat egg yolks, sugar and vanilla in a bowl until pale and creamy. Stir the cornflour into vanilla mixture. Whisk in milk. Transfer milk mixture to a clean saucepan. Whisk over medium-low heat for 5 minutes or until mixture boils. Reduce heat to low. Whisk for 3 minutes or until custard thickens and coats the back of a spoon. Stir in butter. Transfer to a large heatproof bowl. Cool slightly. Cover the surface with plastic wrap to prevent a skin forming. Place in the fridge for 30 minutes to chill.

Step 3

Divide dough into 2 portions. Cover 1 portion and place in fridge. Use a rolling pin to roll remaining dough until 2mm thick. Cut dough into 9cm squares. Wrap each square of dough around a cannelloni tube so opposite corners overlap. Brush overlapping corners with egg white to seal (do not get any egg white on cannelloni or the dough will stick).

Step 4

Add enough oil to a saucepan to reach a depth of 8cm. Heat to 180°C over medium-high heat (when the oil is ready, a cube of bread will turn golden brown in 15 seconds). Deep-fry half the tubes for 2-3 minutes or until lightly golden. Use tongs to transfer to a plate lined with paper towel. Cool slightly. Remove cannoli shells from cannelloni tubes. Discard tubes. Deep-fry cannoli shells for a further 1 minute or until golden brown. Transfer to the plate to cool. Repeat with remaining tubes, reheating oil between batches. Repeat with the remaining dough and tubes.

Step 5

Whisk custard until smooth. Transfer to a piping bag fitted with a fluted nozzle. Pipe into cannoli shells. Place on a serving platter and dust with icing sugar. Serve immediately.