In a medium bowl mix the egg yolks with sugar using an electric mixer. Then add the milk and mix until it’s smooth and a light yellow color.
Pour into a sauce pan and cook over medium heat, stirring constantly, until mixture boils. Boil gently for 1-2 minutes, remove from heat and allow to cool slightly. Cover tightly and chill in refrigerator for 1 hour.
In a medium bowl, beat cream with vanilla and sugar until stiff peaks form. They peaks should stand when you stop whipping. Do not over mix.
Remove yolk mixture from the fridge. Whisk mascarpone into the yolk mixture until smooth. Fold whipped cream into mixture.
In a small bowl, combine coffee and rum. Dip the lady fingers into the mixture just long enough to get them wet, do not soak.
Arrange half of the ladyfingers in the bottom of a 9x9 inch baking dish.
Spoon half the mascarpone cream filling over the ladyfingers. Repeat layers.
Cover and refrigerate at least 24 hours to let the flavors mix, but we would recommend 48 hours of chill time..
Sprinkle with cocoa before serving.