In a glass or stainless bowl that fits over a pot to create a double boiler, whisk together 6 yolks and 1 cup of sugar. Blend thoroughly, then add ¼ cup milk or cream, and blend until well combines. Fill double boiler pot with enough water to heat the bottom and sides of the bowl. Bring water to boil, and then whisk the egg mixture for about 8 minutes or until mixture is 165 degrees for food safety. Remove bowl from heat and let cool. In a separate bowl, whip the heavy cream to form stiff peaks. When the egg mixture has cooled, fold in the marscarpone and whipped cream until well combined. In a shallow baking dish or bowl, add 2 cups of strong coffee or espresso and Kahlua. Dip each lady finger into the coffee mixture for just a few seconds turning the cookie over in the liquid several times. Line an 8 x 8 baking dish with the dipped lady fingers so they touch each other. Spread half of the egg and cream mixture over the first layer of lady fingers. Repeat with a second layer of cookies and a second layer of egg and cream mixture. Cover and refrigerate for 8 hours. When ready to serve, sprinkle cocoa powder over the top. Serve chilled.