Mix the espresso and cognac. Beat the egg yolks and sugar until fluffy. Gradually stir in the mascarpone. Beat the egg whites until stiff and fold into the cream.
Briefly dip half of the ladyfingers into the espresso and place in a baking dish. Spread half of the cream on top and cover with the remaining ladyfingers, also soaked in espresso. Spread the remaining cream on top. Cover with plastic wrap and chill for at least 4 hours.
Dust thickly with cocoa and serve.