In a large bowl, whisk egg yolks and sugar until pale and fluffy.
Heat the milk in a saucepan over medium heat until warm.
Gradually pour the warm milk into the egg mixture, whisking constantly.
Transfer the mixture back to the saucepan and cook over low heat until thickened.
Remove from heat and let cool slightly.
In a separate bowl, whip the heavy cream until stiff peaks form.
Fold the mascarpone cheese into the cooled egg mixture.
Gently fold in the whipped cream until well combined.
Dip ladyfingers briefly in the cooled espresso, then layer them in a serving dish.
Spread half of the mascarpone mixture over the ladyfingers, then repeat the layers.
Dust the top with cocoa powder and refrigerate for at least 4 hours before serving.