In a bowl, combine the egg, egg yolk, Marsala, vinegar, and water. Set aside.
In a food processor, combine the flour, icing sugar, cocoa powder, cinnamon, and salt. Add the lard and mix thoroughly. Add the liquids and pulse until the dough forms into a ball. Add water, if needed.
On a work surface, knead the dough for 2 minutes. Cover with plastic wrap and let rest for 1 hour in the refrigerator.
Heat the oil in the deep fryer to 190 °C (375 °F). Line a baking sheet with paper towel.
On a floured work surface, divide the dough into four pieces and shape into rectangles to facilitate running through the pasta machine. Roll a rectangle of dough at a time, dusting with flour if it becomes sticky, up to thickness number 5. Place the rolled out dough rectangles onto the floured surface.
Cut into 10-cm (4-inch) squares. Wrap the dough around a cannoli mould. Layer 2 corners and stick together by brushing one side with the beaten egg white.
Fry 1 or 2 cannoli at a time for 1 to 2 minutes or until golden brown. Drain on the paper towel. Unmould the cannoli while still hot. Repeat with the remaining dough. Let cool completely.
In a bowl, combine all the ingredients. Place in a pastry bag fitted with a large tip.
Stuff the cannoli with the cheese mixture. Dust with icing sugar before serving. Stuffed cannoli will keep fresh for a few hours (about 4 hours).
The fried dough freezes well.
You can make the cannoli and filling in advance and stuff them at the last moment.
Recipes with the "Healthy Pick" stamp have been evaluated by a registered dietitian member of the Ordre professionnel des diététistes du Québec.