Cook Yolks and Marsala. Fill a pot with water and bring to a gentle simmer. Whisk egg yolks, sugar, and Marsala in a heatproof bowl over the simmering pot. Whisk continuously until thickened, ensuring the mixture reaches at least 160°F (71°C). Transfer to a new bowl to cool, straining if necessary.
1 egg yolk, 1 tbsp marsala wine, 1 tbsp sugar
Whip Mascarpone and Cream. Whip heavy cream, powdered sugar, and vanilla until doubled in volume. Add mascarpone, whipping on low until smooth, then on medium to firm peaks.
6 tbsp heavy cream, 6 tbsp mascarpone cheese, 2 tbsp powdered sugar, 1/4 tsp vanilla extract
Fold Yolks Mixture. Gently fold the cooled yolk mixture into the whipped mascarpone and cream without deflating the mix.
Layer Cream and Ladyfingers. Spoon cream into dessert glasses, adding coffee-soaked ladyfingers. Repeat layers until cream is used.
4 ladyfingers, 1/8 cup strong coffee
Refrigerate. Chill for at least 1 hour (or longer for softer ladyfingers).
Dust and Serve. Dust with cocoa powder just before serving.
cocoa powder