In a deep container lay the Savoiardi biscuits close together. Pour on the espresso with the Tia Maria liquor and sprinkle half of the cocoa evenly on the biscuit. Beat the egg yolks with the sugar until foamy and soft, then add the mascarpone cheese and set aside.
In a different bowl, whisk the double cream and gently fold in the mascarpone incorporating the cream. Spread the mascarpone mousse on the soaked biscuits and top with the remaining cocoa. Refrigerate overnight.