In a deep frying pan, heat some sunflower oil over medium to high heat.
Fry the cannoli shells a few at a time, until they turn golden, then transfer to a plate lined with absorbent paper.
Heat the honey until it is liquefied, and using a brush, spread it evenly over the surface of the pastry.
Dip the cannoli into the grated coconut and then set aside.
In a mixer bowl, mix the cream cheese, cream, powdered sugar, and vanilla. Beat the mixture at high speed with the whisk until it becomes fluffy and smooth. Transfer to a pastry bag.
Fill the cannoli with the resulting cream and refrigerate for 3 hours.
Serve the cannoli cold directly from the refrigerator.