Sprinkle gelatin over warm water in glass measure. Place measure in saucepan of simmering water; stir to dissolve gelatin.
Meanwhile, beat cream cheese, sugar, zest and juice in bowl until smooth. Add ricotta cheese and gelatin mixture; beat until smooth. Cover with plastic wrap; chill until firm, 20 to 30 minutes.
Heat oven to 350 degrees F. Combine sugar, flour, oats, almonds, cocoa and salt in bowl. Stir margarine, vanilla, almond extract and whites in small bowl. Gradually add wet ingredients to dry ingredients, mixing until blended.
Coat baking sheet with nonstick cooking spray. Spoon 1 tablespoon batter onto corner of baking sheet; spread out with spatula to about 4-inch circle. Repeat to make 16 circles.
Bake in 350 degree oven for 8 to 10 minutes, until still slightly flexible. Remove from oven. Carefully roll into cylinders, 3/4-inch diameter. If cookies begin to stiffen, return to oven for 30 seconds to soften. Let rolled cookies cool until crisp.
Spoon filling in pastry bag with large writing tip. Fill each cookie with 2 tablespoons filling. Makes 8 servings (2 cannoli per serving).