Pulse flour, butter, salt, and cinnamon in a food processor until butter is completely incorporated into flour, about 10 pulses. Add water and Marsala, and process until dough forms a soft, tacky ball, about 2 minutes. Transfer to a lightly greased medium bowl; cover and let stand at room temperature for 1 hour or in refrigerator for up to 24 hours.

Remove dough from bowl, and place on a heavily floured work surface. Sprinkle dough generously with flour, and roll to 1/16-inch thickness, about a 14 inch circle. Brush excess flour from surface of dough, and brush evenly with egg white (do not discard leftover egg white). Fold dough in half and dust with additional flour; roll to 1/16-inch thickness. Cut out as many 4-inch rounds as you can from dough. Reroll scraps up to 3 more times (14 to 16 rounds total).

Heat coconut oil in a large Dutch oven over medium-high until a thermometer registers 360°F. Lightly coat cannoli forms with cooking spray. Wrap dough rounds around greased forms, and dab dough with remaining egg white where rounds overlap; seal dough, being careful not to get egg white on cannoli forms. Line a large baking sheet using paper towels.

Working in 4 batches, slowly lower prepared cannoli forms into hot oil, and cook until blistered and browned, 2 to 3 minutes. Transfer cooked cannoli shells to prepared baking sheet. While cannoli shells are still hot, hold each cannoli shell using tongs, and tap tapered end of cannoli form on a work surface until cannoli shell slides free. Remove form, and let cool before wrapping with additional dough. Let shells cool until room temperature, about 30 minutes. Use immediately, or store in an airtight container for up to 1 week.

Beat ricotta and mascarpone with a stand mixer fitted with a whisk attachment on high speed until thickened, 2 to 3 minutes. Add powdered sugar and orange zest, and beat on high speed until thickened, about 1 minute and 30 seconds. Transfer to a piping bag or ziplock plastic bag; snip off end, and pipe a heaping 2-tablespoons filling into each cannoli shell. Dip each exposed end of shells into either chopped chocolate or chopped pistachios. Serve immediately.