Prepare the coffee mixture by combining room temperature espresso with coffee liqueur in a shallow dish. Set aside to cool completely if still warm.
Beat the mascarpone in a medium bowl until smooth and creamy. Be careful not to overmix as mascarpone can separate if beaten too vigorously.
Create the custard base by whisking egg yolks and sugar in a heatproof bowl over simmering water (double-boiler method) for about 5 minutes until pale and slightly thickened. Remove from heat and let cool for 5 minutes.
Combine the mascarpone and custard by gently folding the cooled egg mixture into the mascarpone along with vanilla extract until just incorporated.
Whip the heavy cream in a separate bowl until stiff peaks form. Carefully fold the whipped cream into the mascarpone mixture in three additions to maintain airiness.
Begin assembly by quickly dipping each ladyfinger half into the coffee mixture for 1-2 seconds—just long enough to absorb some liquid but not become soggy.
Create the first layer by placing 1-2 soaked ladyfinger pieces at the bottom of each serving glass, breaking them if needed to fit.
Add cream layer by spooning or piping about 2 tablespoons of the mascarpone mixture over the ladyfingers in each glass.
Continue layering with another layer of soaked ladyfingers, followed by more mascarpone cream. Finish with a generous layer of cream on top.
Dust with cocoa powder using a fine-mesh sieve to create an even coating over the top of each cup.
Refrigerate for at least 4 hours or overnight to allow the flavors to meld and the dessert to set properly.
Garnish with chocolate shavings just before serving if desired, for an extra touch of elegance.