Beat the egg yolks in a bowl until thick.
Place the bowl over the fire in a saucepan of simmering water and continue beating, gradually adding the sugar and the marsala.
Beat until the mixture is as thick as softly whipped cream, for about 6 minutes.
Remove the bowl from the heat and continue beating until this zabaglione mixture has cooled to room temperature.
Beat the mascarpone until it is smooth.
Whip the cream until it forms stiff peaks, then fold it into the mascarpone.
Fold in the zabaglione.
Mix the espresso with the coffee-flavored liqueur.
Line the bottom of a 9-inch (23 cm) square glass or porcelain baking dish with the half savoiardi.
Brush them with half the espresso.
Spoon half the zabaglione over them.
Top with another layer of savoiardi, brush with the remaining espresso, and smooth the rest of the zabaglione on top.
Dust the top with the cocoa sieved through a fine strainer.
Refrigerate at least 1 hour before serving.