In a saucepan, whisk together egg yolks and sugar over medium heat until creamy.
Add milk to the mixture and cook until it thickens, stirring constantly.
Remove from heat and let cool slightly.
Fold in mascarpone cheese until smooth.
In a separate bowl, whip heavy cream until stiff peaks form.
Gently fold whipped cream into the mascarpone mixture.
Combine cooled coffee and coffee liqueur in a shallow dish.
Quickly dip each ladyfinger into the coffee mixture.
Layer half of the soaked ladyfingers in the bottom of a cake pan.
Spread half of the mascarpone mixture over the ladyfingers.
Repeat the layers with the remaining ingredients.
Cover and refrigerate for at least 4 hours or overnight.
Before serving, dust with cocoa powder and garnish with chocolate shavings.