In a medium saucepan, whisk together the egg yolks and sugar until well blended.
Whisk in milk and cook over medium.
Stir constantly until boiling.
Boil gently for 1 minute, remove from heat and cool slightly.
Cover tightly and chill for 1 hour.
In a different bowl, beat cream and vanilla until stiff peaks form.
Pull custard out of fridge and whisk mascarpone into yolk mixture until smooth.
Put coffee in a small bowl.
Dip each ladyfinger into the coffee until soaked.
Arrange half of the lady fingers on the bottom of a 9x13 pan.
Spread half of the mascarpone mixture next, then half of the whipped cream.
Repeat layers.
Sprinkle with cocoa.
Cover and refrigerate overnight.