01TO MAKE SHELLS: Sift flour with salt and sugar. Make a well in the center; in it place the egg and butter. Stir with a fork, working from center out to moisten flour mixture. Add wine, 1 tbsp at a time, until dough begins to cling together. Form dough into a ball. Cover and let stand 15 minutes.
02Roll dough out on floured board, about 1/16 inch think, or run through a pasta machine. Cut dough into 3 1/2 inch circles. Wrap around metal cannoli forms and seal edge with egg white. Deep fry a few at a time in hot oil at 350 degrees for about 1 minute, or until golden brown. Remove with tongs and place on paper towels to drain. Remove cannoli form, and cool shells completely before filling.
03RICOTTA FILLING: Combine ricotta cheese, powdered sugar, vanilla, zests and chocolate. In a separate bowl, beat heavy cream until stiff. Fold whipped cream into ricotta mixture.
04CUSTARD FILLING: In saucepan combine sugar, flour and salt. Gradually add milk and mix well. Cook and stir over medium heat until mixture thickens and boils. Cook and stir 2 minutes longer. Remove from heat and very gradually stir in beaten egg. Return to heat and cook until mixture boils again. Stir in butter and vanilla. Remove from heat and cover pan with plastic wrap and allow to cool.
05Fill cooled cannoli shells with filling, and dip each end in crushed walnuts.