Puree confectioners' sugar, cream cheese, ricotta and vanilla in a food processor.
Bring ½ inch water to a gentle simmer in a small skillet. Sprinkle gelatin over 2 tablespoons water in a small heatproof bowl. Let stand for 1 minute to soften. Set the bowl in the simmering water just until the gelatin has dissolved. Add gelatin to cheese mixture and process until smooth. Add chocolate chips and orange zest; pulse until just combined. Transfer mixture to a bowl. Cover and refrigerate until firm, 1 to 2 hours or overnight.
Just before serving, spoon filling into a pastry bag fitted with a large star or plain tip. Holding Pizzelle Cannoli Shells seam-side up, pipe in filling. Sprinkle pistachios over filling at each end. Dust with confectioners' sugar.
Make Ahead Tip: Prepare through Step 2; cover and refrigerate overnight. Whisk until smooth before proceeding.
If you don't have a pastry bag, use a plastic food-storage bag with a ½-inch hole snipped in one corner.