In the bowl of a stand mixer fitted with a paddle attachment or a large bowl, combine the flour, sugar, cinnamon, and salt.
Mix in the vegetable shortening until the texture becomes crumbly.
Add the vinegar, egg, and marsala wine and mix just until a smooth dough comes together.
Cover with plastic wrap and allow the dough to rest at room temperature for 1 hour.
Line a baking sheet with paper towels and set aside.
Pour 2 inches (5 centimeters) of oil into a large saucepan and heat to 375˚F (190˚C).
Divide the rested dough in half and place one piece on a lightly floured work surface. Cover the other with plastic or a towel.
Using a rolling pin or a pasta machine, roll the dough into a thin sheet, flouring just as needed to prevent sticking.
Use a 4 inch (10 centimeter) round cutter or top of a glass/bowl to cut out circles from the dough as close together as possible (the scraps will be difficult to roll out again). Cover the circles with a towel and repeat with remaining dough.
Wrap one circle around a standard cannoli tube/form, brushing the edges with water and pressing together completely to seal. Repeat with remaining tubes.
Gently add the tubes, 3-4 at a time, to the hot oil and fry until lightly golden.
Carefully remove the tubes from the fried dough using tongs and return the shells to the oil for a few more seconds to fry the interior briefly. Set the tubes aside to cool. Remove the golden shells to the towel-lined baking sheet.
Once the tubes are cool enough to handle, repeat with remaining rounds of dough. Allow the shells to cool to room temperature.
If desired, dip each edge of the cooled cannoli shell in melted chocolate for a variation and allow to set before filling.