In a medium heatproof bowl, whisk together egg yolks and sugar. Gradually add milk and place over a double boiler. Cook over simmering water, whisking constantly, until the mixture thickens (about 8–10 minutes). Remove from heat and let cool slightly.
In a separate bowl, whip heavy cream with vanilla extract until stiff peaks form.
Gently fold the mascarpone cheese into the slightly cooled egg mixture until smooth. Then fold in the whipped cream until fully combined.
Quickly dip ladyfingers into the brewed coffee, making sure not to soak them too long.
In serving cups or small glasses, layer soaked ladyfingers on the bottom. Spoon a layer of the mascarpone pudding mixture over the ladyfingers. Repeat layers as desired, finishing with the pudding mixture on top.
Cover and refrigerate for at least 4 hours or overnight to allow flavors to meld.
Before serving, dust the tops with cocoa powder and optionally sprinkle with chocolate shavings.
