In a medium saucepan bring the broth and 1/2 cup water to a simmer. Cover the broth and keep hot over low heat.
In a medium, heavy saucepan, melt 2 tablespoons of the butter over medium heat. Add the shallot and saute until tender but not brown, about 3 minutes. Add the rice and stir to coat with the butter. Add the wine and simmer until the wine has almost completely evaporated, about 3 minutes. Add 1/2 cup of the simmering broth and stir until almost completely absorbed, about 2 minutes. Continue cooking the rice, adding the broth 1/2 cup at a time, stirring constantly and allowing each addition of the broth to absorb before adding the next, until the rice is tender but still firm to the bite and the mixture is creamy, about 20 minutes. Remove from the heat. Stir in the remaining tablespoon of butter, 2 tablespoons of Parmesan, mascarpone cheese, the lemon zest and juice, and the salt and pepper.
To serve, cut 1/4-inch off the bottom of each lemon so they stand on their own. Take 1-inch off the stem end. Using a grapefruit spoon scoop out the flesh of the lemon and discard. Fill each lemon with about 1/2 cup of risotto. Sprinkle the tops with the remaining 2 tablespoons of Parmesan. Serve immediately.