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Mix the all-purpose flour, granulated sugar, and ground cinnamon together in a large mixing bowl. Add the shortening until the texture is crumbly.
Form a well in the center and add the Marsala wine, water, white vinegar, egg white, and egg yolk.
Mix until the dough stiffens and knead by hand on a clean surface for 10 minutes. Cover with plastic wrap and chill for 1 hour.
Divide the dough into 3 balls and flatten to pass through a pasta machine. Roll the dough through thinner settings each time until the thinnest setting is reached.
Transfer the dough to a lightly floured surface and cut out 4-inch circles using a cutter. Roll the dough around cannoli tubes, sealing the edges with egg white. Repeat for all of the dough balls.
Heat the oil in a deep skillet to 375°F. Fry the tubes until golden for 2 minutes, working in batches. Remove using tongs and transfer to a cooling rack over paper towels. Once cooled, carefully twist the tubes to remove the shells.
Mix the ricotta cheese and confectioners’ sugar in a large bowl until combined. Fold in the lemon zest.
Transfer the mixture to a pastry bag and pipe into the shells, filling the pastry from each side. Dust with remaining confectioners’ sugar to serve.