Combine the coffee and Marsala (or your alcohol-free substitute) in a shallow dish wide enough to dip a whole ladyfinger. If you are not using alcohol, add 1 teaspoon vanilla extract or 1/2 teaspoon rum extract — rum extract gives you the warm flavor without the alcohol.
Set a heatproof bowl over a saucepan of gently simmering water, making sure the bowl doesn't touch the water. In the bowl, whisk the yolks, sugar, and water. Cook, whisking constantly, for 7 to 9 minutes until the mixture reaches 160°F / 71°C and thickens enough to coat the back of a spoon.
Remove the bowl from the heat and let the yolk mixture cool for 5 minutes, whisking occasionally so it doesn't form a skin.
Add the mascarpone to the cooled yolk mixture and whisk until smooth, with no visible lumps.
In a separate bowl, whip the cold heavy cream with the vanilla and salt to soft peaks, where the cream holds its shape when you lift the whisk. Start on low speed, then increase it — moving too fast splatters the cream and over-whips it before it thickens.
Fold the whipped cream into the mascarpone mixture in two additions, using a spatula and a gentle over-under motion. Stop as soon as there are no white streaks left — over-folding deflates the cream.
Dip each ladyfinger into the coffee mixture for about 1 second per side, no longer. Arrange a tight layer of dipped ladyfingers in a 9x13-inch baking dish, breaking them to fill any gaps.
Spread half of the mascarpone cream over the ladyfingers in an even layer, smoothing it with an offset spatula. Take your time, because the whipped cream makes the layer delicate, so you want to avoid tearing the ladyfingers as you spread.
Repeat with a second layer of dipped ladyfingers, then the remaining cream, smoothing the top.
Cover and refrigerate for at least 6 hours, or overnight. The cream should feel fully set, not soft, before you slice.
Just before serving, dust the top evenly with cocoa powder and add chocolate shavings if using. Slice with a sharp knife, wiping the blade clean between cuts for the neatest slices.