Beat the egg yolks and 1/4 cup sugar on high until very pale yellow in color and tripled in volume, about 5 minutes. A ribbon should fall from the beater when lifted from the bowl. Transfer the mixture to a large bowl, wiping out the bowl used to beat the egg yolks.
Beat the heavy cream and remaining 1/4 cup sugar, in the same bowl, until soft-medium peaks form. Add mascarpone and stir by hand until it's a smooth, spreadable mixture with medium peaks. Gently fold the mascarpone mixture into the sweetened egg yolks until well combined. Set aside.
In a shallow dish, combine the warm espresso and marsala wine and set aside.
Using a fine-mesh sifter, dust the bottom of an 8x8-inch baking dish with 2 tablespoons cocoa powder. Make sure the bottom is completely covered.
Working with one ladyfinger at a time, quickly dip each into the espresso mixture, turning over quickly to coat both sides. Don't leave them in the liquid for too long or else they'll get too soft and break apart. You want it for about 1 to 2 seconds on each side. Place them rounded side up at the bottom of the baking dish. Repeat, using half of the lady fingers, until you've got an even layer, breaking the ladyfingers as needed to make them fit in the dish. Spread half of the mascarpone mixture onto the ladyfingers in one even layer. Repeat with another layer of the remaining espresso-dipped ladyfingers and the remaining mascarpone mixture.
Cover the dish with plastic wrap and chill for at least 4 hours or overnight would be better. When ready to serve, dust the top completely with the remaining cocoa and chocolate shavings. Cut and serve. Enjoy!