Mix the espresso and cognac. Beat the egg yolks and sugar until fluffy. Slit the vanilla pod, scrape out the seeds and stir the seeds into the cream. Gradually stir in the mascarpone. Line a rectangular baking dish with half of the ladyfingers and soak with half of the espresso mixture.
Spread half of the mascarpone cream on top. Cover with the remaining ladyfingers and soak with the remaining espresso mixture. Spread the remaining cream on top and smooth. Cover with plastic wrap and chill for at least 2 hours. Serve dusted heavily with cocoa powder.