Blend egg yolks and sugar until yolks become light in color. Blend in rum and 2 tablespoons cocoa. Finally blend in mascarpone until just combined. Do not overblend or else cream will flatten. Take a spatula and fold it a few times.
Soak ladyfingers in coffee, and line a standard 9 x 13 casserole dish. Spread layer of cream mixture on top. Add second layer of soaked ladyfingers, and cover with cream mixture. Refrigerate several hours or overnight.
Dust with 1 tablespoon cocoa through a fine mesh sieve.