Combine the coffee and Marsala in a bowl, and set aside. Beat the egg yolks and sugar in a bowl with an electric mixer for 3 minutes or until thick and pale. Add the mascarpone and mix. Transfer to a large bowl. Whisk the cream in a separate bowl until soft peaks form, then fold into the mascarpone mixture.
Whisk the egg whites in a small clean dry bowl until soft peaks form. Fold quickly and lightly into the cream mixture.
Dip half of the biscuits into the coffee mixture, drain off any excess and arrange in a large glass serving dish. Spread half of the mascarpone cream mixture over the biscuits.
Dip the remaining biscuits into the remaining coffee mixture, and repeat layering. Smooth the surface, and dust liberally with the cocoa powder. Chill in the refrigerator overnight before serving.