Blend egg yolks and sugar in a saucepan, then add milk. Bring to a boil over medium heat, stirring constantly, and simmer for 1 minute. Let cool enough to cover tightly and chill in the fridge for 1 hour.
Beat cream with vanilla to stiff peaks.
Whisk mascarpone into yolk mixture until smooth.
Mix coffee and rum in a shallow bowl or plate. Get out 8×8 dish or similar.
Dip each lady finger for a brief soak in the coffee/rum and form a layer in the bottom of the dish. Spread half the mascarpone mixture and then half the whipped cream. Repeat to form a second layer then sprinkle with cocoa.
Cover and refrigerate 4-6 hours, until set.
originally submitted by jes_p on Jul 16, 2020