Make the filling: Line a sieve with a layer of cheesecloth, and set over a bowl. Spoon ricotta into sieve. Cover, and let drain in the refrigerator overnight.
With an electric mixer on medium speed, beat ricotta and confectioners' sugar until fluffy. Beat in chocolate chips, vanilla, zest, and lemon juice. Cover with plastic wrap, and refrigerate.
Make the shells: Combine flour, granulated sugar, cocoa powder, cinnamon, and salt in the bowl of an electric mixer. Add Marsala and oil, and beat on medium speed until dough comes together. Using your hands, knead dough on a lightly floured work surface until smooth and elastic, about 15 minutes. Wrap in plastic, and let rest 30 minutes.
Divide dough into 4 pieces. Pass 1 piece of dough through the widest setting of a pasta machine (keep remaining pieces covered). Continue passing through narrower settings until it is the thickness of a dime. Lay on a floured work surface. Cut out rounds with a 31/4-inch cutter. Gather scraps and reroll.
Pour enough oil into a large, heavy saucepan to come about 4 inches up sides. Heat over medium heat until a deep-fry thermometer registers 380 degrees.
Wrap each round of dough around a 3 3/4-inch-long cannoli form, sealing with a dab of egg white. Working in batches of 3 or 4, fry until golden, about 1 minute. Using a wire skimmer or tongs, transfer to paper towels, and let cool 5 minutes. Carefully slide out forms, and let shells cool. Continue rolling, cutting, and frying the remaining dough.
Melt chocolate in a heatproof bowl set over a pan of simmering water. Dip one end of each cannoli shell into chocolate and then into pistachios. Let set 15 minutes on parchment paper.
Transfer filling to a pastry bag fitted with a 1/2-inch star tip (such as Ateco #826). Pipe filling into one end of a shell to the center, then into other end. Repeat with remaining shells and filling. Dust with confectioners' sugar, and serve immediately.
We flattened our dough with a pasta machine, but you can also reach for a rolling pin. Either way, be sure to roll out the dough very thinly to give the fried shells the blistered texture of true cannoli.