Preheat a deep fryer to 350 degrees F.
Roll dough into a 12-inch circle, about 1/2-inch thick. In a bowl, combine mascarpone, ricotta, confectioners' sugar, chocolate chips, and toasted walnuts. Place cheese filling over half of the dough. Fold the other half of the dough over the filling. Seal the edges well by pinching the dough together.
Carefully drop into deep fryer and fry until golden, about 3 to 4 minutes. Remove to a paper towel lined plate. Let cool slightly before serving.
Alternately, preheat oven to 500 degrees F. If you have one, place a pizza stone on the bottom rack of the oven.
Dust pizza peel or baking sheet with cornmeal. Place rolled out dough on peel. Top with filling and seal, as directed above. Bake for about 8 to 10 minutes, or until dough is golden brown. Let cool slightly before serving.
In an electric mixing bowl, whisk the yeast, sugar, water and lard together to make a paste. Add the flour and salt and mix, using a dough hook, until the dough comes away from the sides and crawls up the dough hook. Remove the dough from the bowl. Grease the bowl with olive oil and place the dough back in the bowl. Cover the bowl with plastic wrap and let the dough rise until doubled in size, about 1 hour. Turn the dough out onto a floured surface and divide dough in half. Roll the dough into balls, cover, and let the dough rest for 15 to 20 minutes. The dough is ready to be shaped.