In a medium bowl, beat yolks, sugar, and vanilla until smooth and light yellow. Fold mascarpone into yolk mixture. Set aside.
Dip ladyfingers briefly in coffee and arrange 12 of them in the bottom of an 8x8-inch dish. Spread half the mascarpone mixture over ladyfingers. Repeat with remaining ladyfingers and mascarpone. Cover and chill 1 hour. Sprinkle with cocoa just before serving.
