Fill a medium saucepan halfway with water and bring it to a boil over medium/high heat, then reduce heat so that the water is simmering.
Whisk together in a medium metal bowl:
3 egg yolks
1/4 cup whole milk
1 cup granulated sugar
Place the bowl on top of the saucepan (you can also use a double boiler for this step). Stir the mixture often for ten minutes. After the sugar dissolves, the mixture should begin to thicken and turn light yellow. Remove it from the heat to cool.
Use an electric mixer to combine the following in a large bowl.
3 cups mascarpone cheese (this is an Italian cream cheese)
8 ounces cream cheese
1/4 teaspoon vanilla extract
Mix until mostly creamy, but with a few small chunks remaining.
Add egg yolk mixture to the cheese mixture and mix until just combined.
Combine in a small bowl:
¼ cup cold espresso
¼ cup Kahlua coffee liqueur
Mix just until well-combined.
One-by-one, touch the bottom of each lady finger in this mixture onto a dinner plate. Quickly soak up the espresso/Kahlua mixture, but don’t dunk the lady finger. The lady finger will get soaked — just a dab will do ya. The top half of each lady finger should still be dry.
20-24 lady fingers
Arrange the soaked lady fingers side-by-side on the bottom of an 8×8-inch serving dish or baking pan.
Spoon about half of the cheese mixture over the lady fingers, then add another layer of soaked lady fingers on top of the cheese mixture.
Spoon the remaining cheese mixture over the second layer of lady fingers and spread it evenly.
Put cocoa powder in a tight-mesh strainer and gently tap the side of the strainer to add an even dusting of cocoa powder over the top of the dessert.
2 teaspoons cocoa powder
Cover and chill for several hours. To serve, slice the dessert twice across and down, creating 9 even portions.