Whisk egg yolks and sugar in a heat-safe bowl over gently simmering water until pale and 160°F, about 8 minutes. Remove from heat and cool slightly.
Whisk mascarpone into the yolk mixture until smooth. In another bowl, whip cold cream to medium-stiff peaks, then fold it into the mascarpone mixture.
Stir the optional liqueur into the cooled espresso. Dip each ladyfinger for about 1 second per side; do not soak.
Arrange half the dipped ladyfingers in an 8-inch square dish. Spread half the cream mixture over them. Repeat with the remaining cookies and cream.
Cover and refrigerate at least 6 hours, preferably overnight. Dust with cocoa just before serving and cut into 9 portions.