Combine the egg yolks and sugar in a bowl and sit over a sauce pan of boiling water. . Whisk until well combined. Whisk constantly until the sugar has dissolved and the mixture is light yellow in color and thickened a bit, about 5 to 8 minutes. Allow to cool.
Pour the egg yolk mixture into the mascarpone and whisk until combined.
In a large mixing bowl or the bowl of a stand mixer fitted with the whisk attachment, combine the cream. Beat on medium speed until stiff peaks form, 3 to 5 minutes.
Fold the whipped cream into the mascarpone mixture.
Working with one at a time, dip the top and bottom a ladyfinger briefly in the coffee mixture. (They sop up the liquid quickly so they don’t need more than 2 seconds of dipping.)
Arrange enough sponge fingers in a single layer to cover the bottom of a dish. Try not to leave any gaps.
Add half of the mascarpone mixture on top of the ladyfingers and smooth out to the edges using an offset spatula.
Dip more ladyfingers, arranging them in a single layer on top of the filling as you go. Add the remaining mascarpone mixture and smooth out into an even layer.
Dust top with the cocoa powder and chill overnight.
