Preheat oven to 425°F / 220°C.
Combine the yeast and water in the bowl of a stand mixer with a dough hook. Let rest for 5 minutes to dissolve.
Turn the mixer on low and pour in melted butter, sugar, and salt. Slowly add flour and knead until the dough is smooth and not sticking to the sides of the bowl.
Roll dough out on a lightly floured surface until paper-thin. Use a 6" cookie cutter (or bowl traced with a paring knife) to cut 12 circles out of the dough. Beat the egg in a small bowl with a pastry brush.
Spray your cannoli forms with nonstick oil, then drape dough over the form. Brush egg over one edge, then press the other edge on top to create a tight roll. Repeat for remaining dough.
Brush tops and sides of dough with remaining egg and sprinkle with coarse salt. Bake at 425°F / 220°C for 18-20 minutes, or until deeply browned.
Remove shells from the oven and let cool 5 minutes, then carefully slide off the forms.