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Separate the egg whites and egg yolks. Add the egg whites to the bowl of a stand mixer fitted with the whisk attachment. Beat until stiff peaks.
Add the powdered sugar and mascarpone to a separate bowl (with hand mixer or using stand mixer). Beat until smooth, then add the egg yolks and granulated cane sugar. Beat another 2 minutes. Stir in ⅓ cup of the eggnog and (optional) rum. Beat 2-3 minutes, until smooth and airy.
Use a spatula to gently fold in the beaten egg whites.
Add the whipping cream to the same stand mixer bowl and whisk until soft peaks, where the tips curl. Gently fold the whipped cream into the egg mixture.
In a separate bowl, combine the remaining eggnog and espresso.
To assemble, dip half of the lady fingers in the espresso mixture and arrange in the bottom of a 9x9” baking dish. Cut the ladyfingers as needed to fit. Spoon half of the egg mixture on top, then repeat with the dipped lady fingers and remaining egg mixture.
Let chill in the fridge for at least 4 hours (best chilled overnight) and up to 2 days in advance.
Add dollops of freshly whipped cream on top and garnish with shifted cocoa powder to serve. Enjoy!