1. In a mixer, combine egg yolk, vanilla, and sugar. Beat until light and fluffy.
2. Add mascarpone cheese and beat until nice and creamy. Pour milk, if needed to thin out the mixture.
3. In a separate bowl, beat egg whites until stiff.
4. Fold egg whites, half at a time into the bowl with mascarpone mixture. Set aside.
5. In a bowl, mix together expresso and marsala wine.
6. Dip ladyfingers, one at a time into the expresso mixture for 20 seconds and place them in individual serving dish, filling the bottom. If the biscuits are large then break them into pieces.
7. Top ladyfingers with the mascarpone cheese mixture.
8. Pop it in refrigerator for 1 hour to chill.
9. Sprinkle cocoa powder on top and serve chilled.