Beat the mascarpone cheese, sugar, vanilla extract, and egg yolk in a bowl until lightly and creamy. Cut the sponge snack cakes in half lengthwise, then in half widthwise, cutting each into 4 pieces. Press two cake pieces into the bottom of a large coffee mug, cream-side-down. Press four cake pieces around the inside of the mug. Repeat with a second mug.
Sprinkle the sponge cake with 2 tablespoons of coffee liqueur per mug. Spoon in half of the mascarpone mixture and place two more sponge cake halves on top, cream-side-down. Sprinkle the tops with the remaining coffee liqueur. Wrap with plastic wrap, and refrigerate at least 2 hours before serving.
