How to Make It
Preheat the oven to 375°. Line 2 baking sheets with parchment paper. Trace three 4-inch circles on each with a pencil; turn the parchment over.
In a medium bowl, using an electric mixer, beat the butter with 1/3 cup of the sugar until fluffy. Add the egg whites and beat until blended. Add the flour, orange zest, 1/4 teaspoon of the vanilla and the salt and beat until smooth.
Using a small offset spatula, evenly spread 1 tablespoon of the batter into each circle. Bake the cookies, 1 sheet at a time, for 8 to 9 minutes, or until lightly golden and browned around the edges. Immediately roll each cookie around a 1-inch-wide tube or dowel and let cool until crisp. Carefully remove the cannoli from the tubes and transfer to a wire rack. Repeat twice with the remaining batter to make 18 cookies.
In a medium bowl, using an electric mixer, beat the mascarpone at medium speed with the cream, the coffee extract and the remaining 1/3 cup sugar and 1/2 teaspoon of vanilla until firm peaks form.