In a medium saucepan, whisk together egg yolks and sugar until well blended. Whisk in the milk and cook over medium heat, stirring constantly until the mixture boils. Boil gently for 1 minute, then remove from heat and allow to cool slightly. Cover tightly and chill in the refrigerator for 1 hour.
In a medium bowl, beat the heavy cream and vanilla extract until soft peaks form. Add the mascarpone cheese and beat until smooth. Then, fold in the chilled egg yolk mixture and set aside.
Dip each ladyfinger briefly into the cooled coffee and arrange in a single layer at the bottom of a serving dish (a 20x20 cm dish would work well). Spread half of the mascarpone cream mixture over the ladyfingers. Repeat with another layer of coffee-dipped ladyfingers, followed by another layer of the mascarpone cream.
Cover and refrigerate for at least 2 hours, up to 8 hours to allow the flavors to meld together.
Just before serving, dust the top with a generous layer of the unsweetened cocoa powder using a fine-mesh sieve.
