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Place the egg yolks and sugar in a bowl on a pot of boiling water/double boiler. Whisk for about 10 mins with the heat turned to low until the temp reaches 70°C.
Transfer this to a bowl of an electric mixer and mix for 2 minutes on medium to work some air in and cool it down until it turns a pale yellow colour.
Add the mascarpone and mix on medium speed. Stop and scrape down the sides, then add the Kahlúa and vanilla and mix on high for 2 minutes.
Whip the cream until it forms soft peaks and fold this through the mascarpone mix by hand.
Quickly dip the lady fingers 1 by 1 into the coffee and place side by side in a 9x13 inch dish, add half of the cream mix and spread over the top. Repeat the biscuit layer then top with the remaining cream mix.
Place in the fridge for 4-5 hours but ideally overnight to allow it to set.
Before serving, dust with the cocoa, slice and serve