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1
Whisk egg yolks with caster sugar in a heatproof bowl over simmering water until pale, thick, and reaching 65°C (13 minutes), whisking constantly.
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2
Remove from heat and whisk in Marsala wine, then cool to room temperature (8 minutes), whisking occasionally.
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3
In a separate chilled bowl, whip heavy cream to soft peaks using an electric mixer.
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4
Fold cooled Marsala mixture into whipped cream in two additions until no streaks remain.
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5
Combine cooled espresso with coffee liqueur in a shallow dish.
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6
Dip each Savoiardi briefly (1 second per side) into espresso mixture and arrange in a single layer across the base of a 20 × 30 cm dish.
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7
Spread half the Marsala cream evenly over the first layer; repeat with a second layer of dipped Savoiardi and remaining cream.
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8
Cover with plastic wrap and refrigerate for at least 8 hours; dust with cocoa powder immediately before serving.