To make the shells, mix all the dry ingredients in a bowl. Add Marsala and stir with a whisk until the mixture turns crumbly.
Knead the dough a bit to make it solid, with no air gaps. Roll it out on a board to about the thickness of two stacked nickels. Fold it over and roll it out again, then repeat the process once more.
Heat the vegetable oil in a deep saucepan to 375 degrees. While waiting for it to come up to temperature, cut out circles of the dough about five inches in diameter. Wrap them around the cannoli forms.
Deep-fry the dough-wrapped forms
Make the filling by mixing all the ingredients until well blended. When the shells are cool, use a thin knife to scrape the filling into the shells. Be careful not to break the shells. Dip ends of cannoli in pistachio nuts or chopped chocolate bits. Dust with powdered sugar.