Heat the oil in your deep fryer to 320° F (160°C).
With a mixer, combine the cake flour, all-purpose flour, granulated sugar, lard, rum, honey, salt, cinnamon, egg, and just enough water so that it attains a dough-like consistency. (The amount of water you need to add will vary according to the outside temperature and humidity.)
Roll the dough to the thickness of pasta (which is about 1/4 inch. Using a cannoli cutter (an oval-shaped cookie cutter), cut out as many cannoli as you can. Arrange several cannoli ovals in a row and place a cannoli rod down the center. Flip the cannoli up and over, sealing the edges where they meet by lightly brushing the dough with egg wash and pressing so the edges adhere.
Deep fry the cannoli shells, being careful not to crowd the oil, until golden brown, about 3 minutes. Slip them off the cannoli tube and let cool completely.