Mix all the dough ingredients together to obtain a smooth dough. Cover with plastic wrap and refrigerate for 1 hour 30 minutes.
Preheat the oven.
Separate the dough into 10 small balls. Roll out into oval shape. Wrap each oval around a cannoli cylinder. Brush each cannoli with a grape seed oil.
Bake for 10-12 minutes (365F). Once cooled, gently pull out the cylinders from the shells.
To make cannoli filling: mix all the ingredients together with a hand mixer to obtain a smooth cream.Fill the cannoli just before serving. Sprinkle with confectioner's sugar.