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Put the flour, caster sugar and bicarbonate of soda in a mixing bowl. Add the butter and rub in with your fingers until it resembles fine crumbs. Mix the egg yolk with the Marsala in a small bowl, then tip into the flour mixture and combine, kneading until you have a smooth dough.
On a lightly floured work surface, roll out the dough until it is paper-thin (you won’t need to use all of the pastry). Using a plain 10cm/4in round cutter, cut out six rounds. Wrap each circle tightly around a cannoli mould, using a little egg white to seal it together firmly – take care not to get any on the mould.
Fill a deep-fat fryer two-thirds full with the oil and heat to 180C (CAUTION: hot oil can be dangerous. Do not leave unattended.) Fry the cannoli on their moulds in two batches for 30–45 seconds per batch, or until the dough is golden and bubbly. Drain on kitchen paper. Once cool enough to handle, remove the cannoli by gently twisting the moulds, being careful not to break the pastry.
Line a baking sheet with baking paper. Melt the chocolate in a bowl over a small pan of simmering water. Dip each end of the cannoli in the melted chocolate, holding them at an angle so the chocolate coats the edges, then place on the lined baking sheet. When you have dipped all the cannoli, place the baking sheet in the freezer to set the chocolate.
To make the filling, squeeze the ricotta in a muslin cloth to remove any excess liquid. Beat together with the mascarpone until light and fluffy. Add the orange zest, sift in the icing sugar and cinnamon and mix evenly, then transfer to a piping bag fitted with a star nozzle. Pipe the filling into the cannoli, then dust with icing sugar.