In a medium heatproof bowl, add egg yolks, 2 tablespoons coffee liqueur, ¼ cup of sugar, and vanilla.
Set the bowl on top of a saucepan filled with about 1-inch of water. Bring the water to barely a simmer, making sure that the bottom of the bowl does not touch the water.
Vigorously whisk the egg mixture until it is light and foamy and about triples in volume, and reaches around 140ºF (60ºC), about 5 minutes. Turn off the heat and take the bowl off of the pot.
Add mascarpone cheese to the egg mixture and whisk until smooth.
In a separate medium bowl, vigorously whisk the heavy whipping cream and ¼ cup sugar until medium peaks form.
Gently fold ⅓ of the whipped cream mixture into the mascarpone mixture. Add the remaining whipped cream, and fold until just combined.
In a small bowl, combine coffee and 3 tablespoons of coffee liqueur.
Working one at a time, dip half the ladyfingers into the coffee mixture, about 2 seconds per side. Transfer to an 8-inch square dish. They should cover the bottom. Arrange them so that they best fit into the dish.
Add half of the mascarpone mixture to the baking dish. Evenly spread over the dipped ladyfingers.
Dip the remaining ladyfingers in the coffee, arrange them on top of the cheese mixture.
Spread the remaining mascarpone cheese on top in an even layer.
Sprinkle some of the cocoa powder evenly on top. Clean the edges of the dish. Cover with foil and refrigerate for at least 8 hours or up to 5 days.
Allow tiramisu to sit at room temperature for 20 minutes before cutting. Sprinkle with more cocoa powder right before serving.