Add whipping cream to a mixing bowl and beat with a hand or standing electric mixer. Slowly add sugar and vanilla and continue to beat until stiff peaks are formed.
Gently add mascarpone cheese and fold in until combined. Set aside.
In a shallow pan combine the coffee liqueur and the expresso coffee.
Dip the lady fingers on both sides in the coffee mixture being careful not to over soak them. Quickly dip them on both sides for approximately 20 seconds each side.
Lay the dipped lady fingers in a single layer on the bottom of a 9 x 13 inch size baking pan.
Smooth half of the mascarpone mixture over the lady fingers.
Add another layer of dipped lady fingers.
Smooth the remaining mascarpone cream over the top.
Dust with cocoa powder generously over the top (I use a fine mesh strainer to do this).
Refrigerate for at least 4 hours or overnight before serving.