In a small bowl combine the almond flour, baking powder, cinnamon and xantan gum. Set aside. Add the egg, water, sweetener and butter to another bowl and beat to combine.
Bake in preheated oven for 5 minutes. Remove from the oven. Wrap the rounds around lightly greased cannoli forms. Set the cannoli, seam side down, on the prepared baking sheet.
Return to the oven and bake for another 10-15 minutes or until golden. Remove from the oven and allow to cool completely. To make the filling, beat the heavy cream in a bowl until stiff peaks form.
Beat the cream cheese with sweetener and orange zest in another bowl until creamy. Gently fold in the heavy cream. Pipe the filling into cannoli shells.