In a medium bowl, combine ricotta cheese, mascarpone cheese, sugar, orange zest, vanilla extract, chocolate chips, cinnamon, and nutmeg. Mix until ingredients are well combined.

In a separate bowl, mix together the flour, salt, melted butter, egg yolk, and white sugar until a dough forms.

On a lightly floured surface, roll out the dough to about 1/4-inch thick and cut into 3-inch circles using a cookie cutter or cannoli molds.

Wrap the dough circles around the cannoli molds, overlapping the edges and pressing to seal. Heat the oil in a large saucepan to 375°F.

Carefully add the cannoli molds to the hot oil and fry for about 1 minute, or until golden brown. Carefully remove from the oil and drain on paper towels.

In a small bowl, combine 3 tablespoons of cold water with 1 teaspoon of sugar to make a glaze. Brush the glaze onto the cannoli shells and allow to cool.

Spoon the cream filling into a pastry bag or syringe and pipe into the cannoli shells. Sprinkle with powdered sugar and serve.