In a Food processor, mix together flour, cinnamon, cocoa powder, sugar, and salt. Add the cubed, cold butter and pulse 6 to 8 times until the largest pieces of butter are about the size of large breadcrumbs.
Sprinkle in lemon juice and cold white wine and pulse with each addition until the dough just barely begins to hold together. You know that the mixture is ready if when you pinch some together with your fingers and it holds together.
Turn out dough onto a floured surface and knead until smooth. Wrap with a sheet of plastic wrap, and refrigerate 45 minutes to 1 hour.
Making The Filling:
In a medium mixing bowl, stir together ricotta, mascarpone cheese, sugar, chocolate chips, vanilla, and lemon zest. Spoon the mixture into a pastry bag with 1/2 inch cut in the tip and refrigerate until ready to use.
Assembly and Frying:
To roll the dough by hand, dust a work surface lightly with flour. Cut the dough in half; start with one half of the dough and keep the other half wrapped until ready to use. Roll each half out to at least 1/8-inch thick.
If using a pasta maker, set the pasta roller on the widest setting (number 0 or 1). Flatten the dough as much as you with your hands can to help it going through the pasta roller. Run the dough through the roller twice, dusting it with flour in between rolls if it feels sticky, and then fold in half. (When rolling out pasta dough, always hold the pasta on the tops of your hands with your palms down. If you hold it fingers up you will create stretch marks). Move the roller to the next setting and run the dough through. Continue to run the dough through the machine, reducing the opening in between every roll. Stop when you get to the correct thinness, this will be around number 5 on the dial, but every machine is different and see the photos for thickness.
Fill a large heavy-bottomed, pot with oil to a depth of 3 inches. Heat over moderate heat until the thermometer registers 375° - 380° F
Beat the egg with 2 tablespoons of water.
Cut rounds from dough. Wrap each circle around a cannoli mold. Use a little of the egg wash on the edge of each round to seal it shut and to assure it won't slide or fall off the mold before pressing it closed over the mold.
Use a pair of tongs to hold the edge of the mold as you submerge and fry the shell in the oil until crispy (at 380° mine took a minute). Transfer to a paper towel-lined platter to drain and cool about 5 minutes. Stand tubes upright and tap gently against the countertop to loosen shells. Twist molds to remove shells.
Melt the chocolate and dip each end of the shells into the melted chocolate. Let stand on a wire rack to cool and set completely.
When ready to serve, pipe filling into 1 end of a cannoli shell, filling it halfway, then pipe into the other end. Repeat to fill the remaining shells.