In a heatproof bowl, whisk together the egg yolks and sugar until well combined.
Place the bowl over a pot of simmering water, making sure the bottom of the bowl does not touch the water.
Continue whisking the egg yolks and sugar mixture for about 5 minutes, or until it becomes pale and thick.
Remove the bowl from the heat and whisk in the milk. Set aside to cool.
In a separate bowl, whip the heavy cream and vanilla extract until soft peaks form.
In a large mixing bowl, beat the mascarpone cheese until smooth.
Fold the whipped cream into the mascarpone cheese mixture until well combined.
In a shallow dish, combine the coffee and rum.
Dip each ladyfinger into the coffee mixture, making sure to coat both sides.
Arrange half of the soaked ladyfingers in a single layer in the bottom of a serving dish.
Spread half of the mascarpone cream mixture over the ladyfingers.
Repeat the layers with the remaining soaked ladyfingers and mascarpone cream mixture.
Cover the dish with plastic wrap and refrigerate for at least 4 hours, or overnight.
Before serving, dust the top with cocoa powder.
Fold in the cooled egg yolk and sugar mixture into the mascarpone and whipped cream mixture until well combined.