To make the cannoli shells, sift the flour into a bowl, then stir in the sugar, bicarbonate of soda, cinnamon and a pinch of sea salt.
Make a well in the centre and add the lemon zest, marsala and egg yolk (set aside the egg white to use later). Melt and add the butter, then mix until thoroughly combined.
Turn out the mixture onto your work surface and knead for 2 to 3 minutes, until smooth. Cover the dough with an upturned bowl and leave it to rest for 20 minutes.
Set up a pasta rolling machine at one end of your work surface and lightly dust the other end with a little plain flour – you’ll need about 1 metre of space.
Pour the sunflower oil into a large saucepan and place over a medium heat. Pop a digital thermometer into the pan and bring the oil up to 170ºC to 180ºC.
While the oil is heating, divide the dough into three – this will make it easier to work with – then use a rolling pin to roll out each piece into a rectangle 5mm thick.
Pass one piece through the pasta machine on the widest setting (leaving the others covered with the upturned bowl until you’re ready). Fold it in half and roll it through again.
Reduce the setting by one notch and pass through again. Continue rolling, until you reach the thinnest setting. Keep your surface and dough dusted with flour to stop it from sticking.
Lay out the rolled dough on your work surface and use a 10cm round cutter to stamp out discs. Wrap the discs around the cannoli tube or cream horn moulds and brush the join with a dab of the reserved egg white to seal – do not brush any egg white onto the mould or the cannoli might stick.
By now the oil should have reached 180ºC. Lower the cannoli tubes into the hot oil and fry for about 1 minute, until golden brown and crisp.
Use tongs to carefully remove each tube, draining any excess oil back into the pan. Leave them on kitchen paper to cool slightly, still in their moulds, then once cool enough to handle, slide them off.
Repeat the process with the remaining dough, making sure that the oil stays at a steady 180ºC.
To make the filling, sift the icing sugar into a bowl, then beat in the ricotta, mascarpone and yoghurt until smooth.
Fold in the zest from 2 lemons and the juice from 1, then finely chop and add the candied peel and 25g of the pistachios (saving the rest to serve).
Scoop the mixture into a piping bag, then fill up each cannoli shell with the mixture.
Finely chop and scatter the remaining pistachios over the ends of each cannoli, dust with icing sugar, and serve.