Zest the lemons and sift the icing sugar, then combine gently with the ricotta. Transfer to a piping bag and refrigerate.
Gently melt the butter in a small saucepan. Blitz the walnuts to a powder. Blend the sugar and egg whites in a food processor. Slowly add the flour, mixing for about 5 minutes. Make sure there are no lumps.
Gently trickle the butter into the mixture. Add the walnuts and vanilla and whizz to mix. Transfer the mixture to a bowl. Cover and put in the fridge for at least 2 hours or preferably overnight.
Preheat the oven to 180°C/gas 4. Line three or four baking sheets with baking parchment.
Drop large spoonfuls of the cannoli mixture onto baking sheets lined with silicon mats, spacing them widely. Use the back of the spoon to spread into thin circles 7-8cm in diameter. Bake in batches for 8-10 minutes until slightly brown. Remove from the oven and allow to sit for 2 minutes before rolling each circle round a thick wooden spoon handle to make a tube. If the circles harden before they are shaped, return to the oven to soften.
Pipe the ricotta mix into the cooled cannoli tubes and serve.
«These are even better drizzled with a fresh lemon curd. You could also add a little rum or brandy to the ricotta.»