How to Make It
Make the Shells: Combine the flour and sugar in the bowl of a food processor; pulse to combine. Add the butter and pulse until mixture reaches the consistency of small pebbles. Add the egg yolk and Marsala to flour mixture; process until the dough comes together and can be easily pressed into a ball. Transfer the dough to a piece of plastic wrap; flatten into a disk and wrap tightly in plastic. Let stand at room temperature for 30 minutes to1 hour.
Fill a large Dutch oven with 2 inches of oil; heat over medium-high heat to 360 degrees.
Lightly flour a work surface and roll the dough to a 1/2-inch-thickness. Cut out as many circles as possible using a 3-inch round cookie cutter; gather the dough scraps, reroll once, and cut out more circles. Roll each circle into a 2x4-inch oval and wrap each dough oval around a cannoli tube. Lightly moisten edges with water and press edges firmly to seal 1 cannoli shell on tube. Submerge the whole tube in the oil and fry the whole tube, one at a time, until shells are golden brown, about 1 minute. Carefully remove from oil and using tongs, slip cannoli shells off tubes onto a paper towel lined sheet pan to drain; transfer to a wire rack to cool completely. Let the cannoli tubes cool and repeat process with remaining dough, adjusting heat as needed to keep oil at
Make the filling: Mix the strained ricotta, sugar, and vanilla extract in a bowl until smooth. Stir in peppermint candies and chocolate chips.
Fill a pastry bag fitted with a 1-inch tip with the ricotta mixture. Holding a cannoli shell in one hand insert the pastry tip into the center of the shell with the other, and pipe the filling to fill 1/2 of the cannoli shell. Turn the shell around and repeat process to fill the other side. Repeat with the remaining cannoli shells and filling. Arrange on a platter and dust with confectioner’s sugar.