Prepare the Cream Filling:

1. Whip the Heavy Cream: In a mixing bowl, whip the heavy cream with an electric mixer until stiff peaks form. Set aside.
2. Blend the Mascarpone and Sugar: In another bowl, mix the mascarpone cheese and powdered sugar until smooth and creamy.
3. Combine the Ingredients: Gently fold the whipped cream into the mascarpone mixture until fully incorporated. Add vanilla extract and lemon zest, if using, and mix gently until combined.
4. Chill the Cream: Cover the cream mixture and refrigerate for at least 1 hour to allow it to firm up.

Prepare the Puff Pastry:

5. Roll Out the Puff Pastry: Preheat the oven to 400°F (200°C). Unroll the puff pastry sheet on a lightly floured surface. Cut it into 1-inch wide strips.
6. Shape the Cannoncini: Take a strip of puff pastry and wrap it around a metal cannoli or cannucino mold, overlapping slightly. Repeat with the remaining pastry strips.
7. Brush with Egg Wash: Brush the outside of each rolled pastry with the beaten egg for a golden, glossy finish when baked.

Bake the Pastries:

8. Bake the Cannoncini: Place the puff pastry rolls on a baking sheet lined with parchment paper. Bake for 20-25 minutes, or until golden and puffed.
9. Cool the Pastries: Remove the cannoncini from the oven and allow them to cool on a wire rack for about 10 minutes before carefully removing the molds.

Assemble the Cannoncini:

10. Fill the Pastries: Once the pastries have cooled, carefully pipe or spoon the chilled cream filling into each cannoncino. If you don’t have a piping bag, you can use a zip-top bag with the tip cut off.
11. Garnish: If desired, sprinkle the filled cannoncini with chopped pistachios or almonds for added texture and flavor.
12. Dust with Powdered Sugar: Finish by dusting the top of each pastry with powdered sugar for a beautiful presentation.