Whisk the egg yolks and sugar together in a bowl over a pan of simmering water (bain-marie) for about 8 minutes until thick, pale and doubled in volume. Remove from heat and cool slightly.
Fold the mascarpone into the egg yolk mixture until smooth and combined.
Mix the cooled espresso with the Marsala wine (if using) in a shallow bowl.
Quickly dip each ladyfinger into the coffee mixture — do not soak, just a 1–2 second dip per side.
Arrange a layer of dipped ladyfingers in a rectangular dish. Spread half the mascarpone cream over the top.
Add a second layer of dipped ladyfingers, then spread the remaining cream evenly on top.
Cover and refrigerate for at least 4 hours or overnight.
Dust generously with cocoa powder just before serving.
