Fill a medium deep saucepan about one-third full of water. Bring to a boil, then reduce the heat to low until barely simmering while preparing the other ingredients.
Prepare a 9-inch square non-stick pan or other casserole dish with 3-inch high sides. Very lightly coat with vegetable cooking spray if not using a non-stick pan.
Place the egg yolks and sugar in a heat-proof bowl and whisk to combine. The mixture will be very thick. Place the bowl with the eggs over the hot water, creating a double boiler. Don’t allow the bowl to touch the water and make sure the water is not boiling. Cook the eggs and sugar while whisking constantly, about 7-8 minutes or until thick. Remove from the heat.
Dollop spoonfuls of the room-temperature mascarpone into the yolk mixture and stir with a rubber spatula to combine. Continue adding the mascarpone until all is incorporated. Add the vanilla and blend. If still slightly lumpy, lightly blend with an immersion blender for a second or two, but no more.
In a clean bowl, beat the whipping cream until stiff (not dry) peaks form. Fold ⅓ of the whipped cream into the custard until incorporated. Add the remaining whipped cream and gently fold together until blended. Set aside.
Combine the coffee and Kahlua in a shallow bowl. Quickly dip the lady fingers, one at a time into the coffee mixture, turning them over to coat the other side, then arrange in the bottom of the prepared pan. They should be touching and not overlapping. TIP: Dip each cookie quickly, counting “one-thousand one” then turn and count “one-thousand two”. This is just long enough to soak the outside of the cookie without making them mushy.
Spoon half the custard over the bottom cookie layer. Repeat with another layer of lady fingers and the remaining custard.
Refrigerate at least 8-hours or overnight for best results. To serve, dust with sifted all-natural unsweetened cocoa powder.