In a large bowl, or in the bowl of a stand mixer fitted with a dough hook, combine the flour, sugar, salt, cinnamon, and cocoa powder and mix together until combined.
Add the shortening and work into the flour until grainy.
Make a well in the middle of the flour mixture and add the egg and Marsala wine, mixing with a fork until a dough is formed. If using a stand mixer, continue to mix on low speed with the dough hook.
Move the dough to a clean, flat surface that's dusted with flour and knead for approximately 8-10 minutes, or continue to mix on low speed if using the stand mixer. Then, wrap the dough in plastic and allow it to rest in the refrigerator for 60 minutes or longer.
Remove the dough from the fridge and let it come up to room temperature or at least 20 minutes. Cut into 3 equal pieces.
On a lightly floured surface roll out the dough until it's thin enough to begin to pass through a pasta machine. Pass the dough through the machine, adjusting down the thickness settings until you reach a thickness of approximately 1/16".
Once the dough is thin enough, use a 3 1/2" circular cookie cutter to cut the dough into circles. Then, using a rolling pin, roll into an oval shape as this will allow the dough to easily wrap around the cannoli form. If you don't have a cookie cutter, you can cut the dough into 3 1/2" by 3 1/2" squares.
Fill a large heavy pot with 2 inches of vegetable oil and heat to 365-375f. Line a baking sheet with parchment paper and place a wire cooling rack on top.
Place the cannoli forms directly onto the ovals or squares and wrap the dough around the form, pressing the overlapping edge to hold them together and use a drop of egg white on your finger to seal. Take care to not get the egg white on the cannoli form as it will stick to the cannoli dough.
Fry the cannoli in the oil until golden and puffed up, about 1 minute. Remove from the oil as soon as they are crisp and blistered. Remove the cannoli from the form immediately using kitchen tweezers or needlenose pliers. Use caution when removing from the cannoli form as they will be quite hot, then allow to drain and cool on a paper towel-lined baking sheet or rack.
Allow the forms to cool completely, then repeat the process.