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About this recipe: A popular pastry that can be found in the cuisine throughout the Italian peninsula is the zeppole. Other names it has include 'St. Joseph's Day Cake', 'sfinge', and 'Bigne di S. Giuseppe', a name particular to Rome. The zeppole is also found in Sicily and the island of Malta. It is a doughnut; a light, deep-fried ball of dough that is topped with powdered sugar and often filled with either custard, jelly, a butter-honey mixture or a pastry cream done in cannoli.