In a small bowl, stir together the coffee and liqueur and drizzle over the cookies. Line the bottom of a 6-cup square mold with plastic wrap. Spoon some of the cookies into the mold.
For the cream: Separate the eggs. In a heatproof bowl, beat the yolks, coffee and sugar over a pan of simmering water until thick and creamy (do not get too hot!). Then set the bowl over a bowl of cold water and stir in the mascarpone. Beat the egg whites until stiff and fold into the yolk mixture. Beat the cream until stiff and fold into the yolk mixture. Spoon about one-third of the mixture over the cookies and smooth the top. Top with a layer of cookies and a layer of cream. Repeat until all the cookies and cream are used. Cover with plastic wrap and refrigerate at least 4 hours (or freeze). Remove from the mold about 10 minutes before serving Remove the plastic wrap and sprinkle with cocoa.