In a medium stainless steel bowl or pot, mix egg yolks and sugar.
Bring a small pot with an inch of water to a boil and reduce heat to a simmer. Place stainless steel bowl or pot on top and whisk the egg and sugar mixture constantly until it thickens and becomes a light, sunny yellow colour. This is a classic sabayon, don't let it get too hot, otherwise the egg yolk will start cooking. Just lift off the pot of water while whisking as often as necessary.
Allow sabayon mixture to cool briefly and then add in room temperature mascarpone. Mix until well combined.
In a separate bowl, use a mixer and whip the cream to stiff peaks. For the most stable cream, start on low speed and slowly increase the speed.
Gently fold the sabayon/mascarpone mixture into the whipped cream.
Mix cold espresso and win and dip ladyfingers into the mixture just long enough to get them wet. Do not allow them to soak too long, otherwise they'll fall apart!
Arrange a layer of lady fingers in the bottom of a 9-inch pan and spoon half your cream mixture over the lady fingers and spread out evenly. Repeat the process with another layer of ladyfingers and the remainder of the cream.
Refrigerate for at least four hours and can be refrigerated overnight. Dust with cocoa powder before serving.