It is said that the very first dessert to resemble a cannolo was in Ancient Rome, around the time of Cicero. But, it was during Medieval times that what we think of today as a cannolo really came to life; invented in Sicily by Arab women!
As the story goes, the city of Qal at al-Nissa (or as it is called today, Caltanissetta), was home to many Saracen harems. The women of these harems were known to prepare sweets and desserts, they were the first to make a sweet similar to what we now call cannolo. Legend has it that the cannolo's phallic form was totally intentional! It was chosen to represent the the penis of the women's husbands. What a bunch of bad-ass medieval bakers, with a serious sense of humor!
Later in history, when Sicily was conquered by the Normans and was thereby under Catholic rule, many women who previously lived in harems, became nuns. The cannolo tradition continued in the nunneries.
Of course, any mention of a phallus was completely done away with. Instead, the cannolo was said to represent a fountain of life water, the ricotta was said to be water. Less explicit, but still a symbol of fertility!