For the dough, mix the flour, sugar, coffee and cocoa powder in a bowl. Work the butter through it and then the wine and the marsala wine, and mix everything until you have a loose, cohesive dough. Place the dough on a floured worktop and knead it lightly; some flour when needed. Place the dough in a plastic wrap for about 30 minutes in a cool place.
Lightly flour the worktop and roll out the dough into a sheet of approximately 32 x 24 cm. Cut the edges and then cut it into 12 squares of 8 x 8 cm. Grease cannoli tubes lightly with oil. Fold to each cannoli tube diagonally a square of dough and stick it with beaten egg. Press the edges firmly.
Heat the oil in a frying pan to around 180°C, or so hot it is a piece of dough crispy and golden brown in about 15 seconds. If smoke comes from the oil, it's too hot. Put the cannoli in it, a fewat a time, and fry until golden brown and crispy. Remove them with pliers and drain them on kitchen paper. Let the tubes get loose as soon as they are cooled down enough, slip and leave the cannoli on a grid to cool well.