Mix flour, sugar, and cinnamon in a bowl. Cut in shortening until crumbly.
Add Marsala wine, water, vinegar, egg, and egg yolk. Mix with a fork, then knead by hand for about 10 minutes. Chill for 1 to 2 hours.
Divide dough into three balls; flatten and roll through a pasta machine to the thinnest setting. Cut into 4 to 5-inch circles.
Heat oil to 375°F (190°C). Fry dough on cannoli tubes until golden, 2 to 3 minutes. Remove shells and cool on a rack.
Mix ricotta and confectioners' sugar in a bowl. Fold in chocolate and lemon zest.
Pipe filling into cooled shells with a pastry bag, from center to each end.
Dust with confectioners' sugar if desired, and serve immediately or within 1 hour.