Stir mascarpone and 2 tablespoons orange liqueur together in a large bowl until smooth. Set aside.

Beat cream, sugar, and vanilla together with an electric mixer in a separate bowl until soft peaks form. Fold about 1/4 of cream into mascarpone mixture with a large rubber spatula until smooth. Add remaining 3/4 of whipped cream and fold until smooth and well combined.

Mix orange juice and remaining 2 tablespoons of orange-flavored liqueur together in a shallow bowl. Separate ladyfingers. Quickly dip two or three ladyfingers at a time in orange juice mixture just long enough to absorb a small amount of liquid. Arrange soaked cookies in the bottom of a 9x13-inch baking dish.

Repeat soaking and placing cookies until the bottom of the dish is covered in a single layer. Spread about 1/2 the mascarpone mixture over cookie layer. Sprinkle about 1/2 the cocoa powder over mascarpone. Repeat soaking and layering with remaining cookies, orange juice mixture, mascarpone mixture, and cocoa powder.