Whisk the egg yolks and sugar until pale and creamy.

Heat the milk until just steaming, then pour it into the egg mixture while whisking constantly.

Return the mixture to the saucepan and cook over low heat until it thickens slightly, about 5 minutes.

Remove from heat and let the mixture cool completely.

Gently fold in the mascarpone cheese until smooth.

In a separate bowl, whip the heavy cream until stiff peaks form.

Fold the whipped cream into the mascarpone mixture until just combined.

Dip ladyfingers in coffee and layer them in the baking dish, alternating with the mascarpone mixture, finishing with a layer of cream.

Dust with cocoa powder just before serving.