In a glass bowl, whisk together yolks and sugar and place over a sauce pan with simmering water. Whisk on low heat until the mixture becomes pale yellow and slightly thickened. Remove from heat and set aside.
In a medium bowl, add mascarpone and marsala and mix together until well combined. Pour the egg yolk mixture and whisk well until incorporated.
Add cold whipping cream to the separate bowl and whip until medium peaks forms.Using spatula to fold 1/3 of the whipped cream into mascarpone cream then gently fold remaining whipped cream until incorporated.
Combine espresso and marsala in a shallow bowl. Quickly dip each ladyfinger into the espresso mixture and place them in the baking dish. Spread half the mascarpone mixture onto the ladyfingers and smooth out.Repeat the second layer, dust top layer with cocoa power then chill in the refrigerator for at least 6 hours, preferable overnight to well set.