PREPARATION:

1. Combine flour, granulated sugar and lemon peel in medium bowl; cut in butter with 2 knives or pastry blender until mixture resembles fine crumbs. Beat egg and marsala in small bowl; add to flour mixture. Stir with fork to form ball. Divide dough in half; shape into two 1-inch-thick square pieces. Wrap in plastic wrap and refrigerate at least 1 hour.
2. Heat 1-1/2 inches oil in large saucepan to 325°F. Working with 1 piece of dough at a time, roll out on lightly floured surface to 1/16-inch thickness. Cut dough into 9 or 10 (4X3-inch) rectangles.
3. Wrap each rectangle around greased metal cannoli form or uncooked cannelloni pasta shell. Brush one edge of rectangle lightly with water; overlap with other edge and press firmly to seal.
4. Fry, 2 or 3 cannoli pastry shells at a time, 1 to 1-1/2 minutes or until light brown, turning once. Remove with tongs; drain on paper towels.
5. Cool until easy to handle. Carefully remove fried pastries from cannoli forms or pasta shells; cool completely. Repeat with remaining piece of dough.