Whisk egg yolks and sugar together in a medium saucepan until well blended.

Whisk in milk and cook over medium heat, stirring constantly, until mixture comes to a boil.

Boil gently for 1 minute, then remove from heat and allow to cool slightly.

Cover tightly and chill in the refrigerator for 1 hour.

Beat cream and vanilla in a medium bowl with an electric mixer until stiff peaks form.

Add mascarpone cheese to chilled egg yolk mixture and whisk until smooth.

Combine coffee and rum in a small bowl.

Split ladyfingers in half and drizzle with the coffee mixture.

Arrange 1/2 of the soaked ladyfingers in the bottom of a 7x11-inch dish.

Spread 1/2 of the mascarpone mixture over the ladyfingers, then spread 1/2 of the whipped cream over top.

Repeat layers with remaining ingredients.

Sprinkle cocoa powder over top.