In a food processor, add ricotta cheese, lemon zest, olive oil, salt, and black pepper. Process until the ricotta is very smooth and very fluffy, about 20 seconds. Scrape the sides and bottom of the bowl with a rubber spatula, and process again for 20 seconds.
Wrap the bacon slices around cannoli shells and place them on the baking sheet lined with aluminum foil and fitted with a cooling rack, ensuring both ends are tucked underneath. Bake at 400F for 15-25 minutes or until the bacon is cooked through and crispy.
Let the bacon shells cool down for 10 minutes, then carefully remove them from the cannoli tubes. Use a piece of paper towel to hold the bacon while gently twisting the cannoli tube and pulling the bacon shell off.
Next, fill the shells with whipped ricotta cheese using a pastry bag with a large tip.
Finally, dip the ends of the cowboy cannoli in the prepared fixings, arrange on a serving platter, garnish with ground Parmesan cheese and some sliced scallions, and serve.