Make Mascarpone Cream - 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 water. Bring the water to barely a simmer, ensuring that the bowl's bottom does not touch the water.Vigorously whisk until the mixture is 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.
Whip Heavy Cream - 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. Then add the remaining whipped cream, and fold until just combined.
Dip Half the Ladyfingers - 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 baking dish. They should cover the entire bottom.
Add Cream Layer - Add half of the mascarpone mixture to the baking dish. Evenly spread over the dipped ladyfingers.
Dip Remaining Ladyfingers - Dip the remaining pieces in the coffee liqueur mixture, and arrange them on top of the cream layer. Spread the remaining mascarpone evenly on top.
Add Cocoa Then Chill - 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.
To Serve - Allow tiramisu to sit at room temperature for 20 minutes before cutting. Sprinkle with more cocoa powder right before serving.
Omitting Alcohol: Substitute with more coffee or espresso.
Making Individual Portions: Make mini tiramisu in ramekins or small cups, about 6 to 8 ounces. Yield will depend on cup size.