It has nothing to do with Italian. It just means "holy crap" or "wow, I cannot believe it!" It is used to express shock or surprise at something incredibly good or incredibly bad.

I wouldn't say its used seriously in English, and is more of a joke used sarcastically. It typically is used to express awe or shock, depending on its context

It's a kind of faint joke. It's a creative variation on a series of euphemisms for "Holy Christ!" "Holy Christ," when used to express surprise or astonishment, considered "bad language" because it is profane. (Ir breaks one of Ten Commandments). So, people start to say "Holy Christ" and, realize they are about to say something bad, and quickly substitute another word for it. Some traditional "minced" expressions are "Holy cow!" and "Holy smokes!" For no reason I know of, when I was a kid people said "Holy moley!" "Moley" isn't a word, but it rhymes with "Holy." So, "Holy cannoli!" is an unusual version. Like "Holy moley!" it rhymes, but it has the advantage of being a real word. Because of the large number of Italian-Americans in the United States, and the popularity of Italian (or at least Italian-American) cuisine, cannoli has become familiar in the United States.

thank you Terence and sorry for having replied so late

It's kind of a wildcard expression that can mean whatever you like depending on how it's used. Generally an expression that starts with the word "holy" and ends with a "!" is an expression of surprise. "Holy cow, holy shit balls, holy smoke, holy hell!" None of it makes any sense, but it all means "I am surprised". In the old "Batman" TV show, Robin was known for saying "holy" something, filling the something in with whatever object happened to be at hand. It was an expression of surprise. For the apprentice of the world's greatest detective, he certainly was surprised an awful lot. I also remember a movie where a woman was groped on a bus and exclaimed "he touched my holy cannoli!", indicating the man had touched her vagina. While I haven't heard it used this way before or since, it didn't seem a strange way to use it. In short, an expression of surprise.