Combine the flour, sugar, cinnamon, and salt together in a food processor. Add the butter and pulse until it resembles small pebbles.
Add the egg and cold wine and pulse until the dough just barely begins to hold together. Transfer the dough to a floured surface and knead until smooth, 3-4 minutes.
Wrap in plastic wrap and refrigerate for at least 1 hour.
Lightly coat the dough with flour and use a rolling pin to roll the dough out as thin as possible on a lightly floured surface, to 1/8-inch thick.
Use a 4-inch, round cookie cutter to cut circles from the dough. Take one circle at a time and pull it into a 5-inch oval. Repeat with the excess dough, kneading it back together and cutting it until you have 12 ovals.
Place the egg white in a small bowl and set aside. In a wide pot with a heavy bottom, heat vegetable oil to between 350 and 380 degrees F. Line a large plate with paper towels.
Wrap one oval of dough loosely lengthwise around a cannoli form or 1-inch-diameter wooden dowel. Brush one end of the dough with egg white, then pull the dry end over the top and press down to seal. Repeat with three more dough ovals.
Using tongs, carefully lower the dough into the oil and fry until golden brown, turning them as they fry, 2-3 minutes. Remove the shells with the tongs and transfer them to the paper towel-lined plate to cool.
When the shells are cool enough to touch, remove the molds and repeat with the remaining dough in batches until all shells have been fried.
Dip ends of cooled shells in melted chocolate, and cool until dry.