Combine the egg yolks, granulated sugar, and salt in a large heat-proof bowl.
Set the bowl over a saucepan of simmering water, whisking constantly to ensure that the eggs don’t scramble.
Once the mixture has thickened, is pale in color, and reaches a temperature of 165°F-170°F (it should take about 10 to 13 minutes) remove the bowl from the saucepan and set aside to cool for 5 to 10 minutes.
Whisk the cold mascarpone and vanilla extract into the egg mixture until well combined and no lumps remain (make sure not to overmix).
In a separate cold mixing bowl with clean beaters, beat the heavy whipping cream to medium-stiff peaks.
Fold half of the whipped cream into the mascarpone egg mixture until fully combined, then fold in the remaining whipped cream. Set aside.
In a shallow dish, combine the cold espresso and Kahlua.
Dip the ladyfingers into the coffee mixture, one at a time, and arrange half of them in a single layer in a 9x13 inch baking pan.
Spread half of the mascarpone mixture over the ladyfingers and top with another layer of dipped ladyfingers.
Spread the remaining mascarpone mixture over the ladyfingers and dust with cocoa powder.
Cover the baking pan with plastic wrap and refrigerate for at least 8 hours or overnight before serving.