In a large heatproof bowl, combine egg yolks, sugar, Kahlua and salt. Using a handheld electric mixer, beat on high speed until well mixed. Set bowl over a pan of barely simmering water. Beat on high speed until the mixture is thick and hot to touch, about 8 minutes.
Remove from heat. Let mixture cool completely. Stir occasionally.
Beat mascarpone cheese and heavy cream on medium speed until smooth in a standing mixer fitted with a whisk attachment. Increase speed to high, and continue beating until stiff peaks form.
Fold the whipped mascarpone mixture into the cooled egg mixture a third at a time until combined and smooth.
To assemble, dip ladyfingers, one at a time, into the espresso and arrange in a single layer on the bottom of a 8×8-inch pan. Spread half of the mascarpone filling over the ladyfingers. Dust half of the cocoa powder on top. Repeat with the second layer of ladyfingers, mascarpone filling and cocoa powder.
Refrigerate at least 4 hours or overnight before serving.