Mix flour, sugar, cocoa, and cinnamon in a bowl. Rub in the butter until the mixture resembles coarse crumbs.
Add one egg and Marsala wine, and mix well until the dough comes together.
Form the dough into a ball, wrap it in plastic wrap, and let it rest at room temperature for about an hour.
Roll out the dough into thin sheets and cut out 5-inch circles.
Wrap each circle around a cannoli mold, and seal the edges with egg white.
Heat oil in a frying pan to 350°F and fry the shells in batches until golden brown and crisp.
For the filling, mix ricotta, sugar, vanilla extract, and chocolate morsels in a bowl.
Spoon the mixture into a piping bag fitted with a round tip.
Pipe the ricotta mixture into the cooled shells, and optionally dust with powdered sugar to serve.