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Place egg yolks and sugar in a bowl over a pot of boiling water (double boiler). Whisk for about 10 minutes on low heat until the temperature reaches 70°C.
Transfer to an electric mixer bowl and mix on medium speed for 2 minutes until pale yellow.
Add mascarpone and mix on medium speed. Scrape down the sides, then add Kahlúa and vanilla and mix on high for 2 minutes until thick and smooth.
Whip the double cream until soft peaks form and gently fold it into the mascarpone mixture by hand.
Quickly dip lady fingers one by one into the cooled strong brewed coffee and place them side by side in a 9x13 inch dish.
Add half of the cream mixture and spread evenly.
Repeat the lady finger layer and top with the remaining cream mixture.
Place in the fridge for 4-5 hours, or ideally overnight.
Before serving, dust with cocoa powder.