Whisk egg yolks and sugar until pale and creamy.
Heat milk and pour it into the egg mixture, whisking constantly.
Return to heat and cook until it thickens slightly.
Let the mixture cool to room temperature.
Whip heavy cream until soft peaks form.
Fold mascarpone into the cooled egg mixture.
Gently fold whipped cream into the mascarpone mixture until smooth.
Combine coffee and liqueur in a shallow dish.
Dip ladyfingers in the coffee mixture and layer them in a dish.
Spread half of the mascarpone mixture over the ladyfingers.
Repeat the layers and dust with cocoa powder.
Refrigerate for at least 4 hours before serving.