Preheat oven to 425 degrees, and line a sheet tray with parchment paper.
Prepare the shells: Pour yeast packet into a bowl of warm water and let sit until dissolved.
In a medium bowl, combine melted butter, salt and sugar; add in dissolved yeast.
Using a stand mixer with the dough hook attachment, pour in the mixture and add the flour, kneading until a smooth but not sticky dough is formed.
Using a rolling pin on a floured surface, roll out dough to a paper-thin layer. Using the rim of a large glass or jar (3 inches across), create imprints on rolled dough. Trace with a paring knife to ensure dough is cut through completely.
Oil your cannoli forms or homemade foil rollers well. Once dough is rolled around the rollers and the ends are overlapping and secure, brush the tops and sides of dough with beaten egg. Sprinkle the shells with coarse salt.
Bake for 15 to 20 minutes, or until brown.
Prepare the filling: Pour the cream into a mixing bowl and beat with an electric mixer until peaks form, about 2 to 3 minutes. Scoop the whipped cream into a small bowl and place in refrigerator.
In a mixing bowl, combine the peanut butter, cream cheese, melted chocolate, sugar and vanilla and beat until smooth, about 2 minutes.
Add powdered sugar and beat again for another minute.
Add the milk and beat until smooth, about 20 to 30 seconds.
Use a spatula to gently fold and stir in the whipped cream until combined.
Using a piping bag or a zip-top bag with the corner cut off, pipe chocolate peanut butter mousse into each cannoli.
Top with chopped peanuts and chocolate curls before serving.