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In a medium saucepan, whisk together egg yolks and sugar until well blended. Whisk in milk and cook over medium heat, stirring constantly, until mixture boils. Boil gently for 1 minute, remove from heat and allow to cool slightly. Cover tightly and chill in refrigerator 1 hour.
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In a medium bowl, beat cream with vanilla until stiff peaks form.
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Whisk mascarpone into yolk mixture until smooth.
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In a small bowl, combine coffee and rum. Split ladyfingers in half lengthwise and drizzle with coffee mixture.
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Arrange half of soaked ladyfingers in bottom of a 7x11 inch dish. Spread half of mascarpone mixture over ladyfingers, then half of whipped cream over that. Repeat layers and heavily sprinkle with cocoa. Cover and refrigerate 4 to 6 hours, until set. (Tastes better the next day)
