Lightly oil a 23 cm (9 inch) square cake tin with spray oil and line with nonstick baking paper, allowing the paper to overhang the edges. Arrange the Savoiardi biscuits, sugar-side up, in the base of the tin, trimming them to fit, if necessary. Brush the biscuits with the coffee.
Put the cream cheese, mascarpone, eggs, sugar and Marsala in a clean a bowl. Using an electric whisk, beat together until smooth, then pour into the prepared tin and smooth the surface. Grate over the chocolate to cover the surface of the cake.
Bake in a preheated oven, 140°C (275°F), Gas Mark 1, for 50 minutes–1 hour until firm. Leave to cool, then chill for 1 hour. Carefully remove the cheesecake from the tin and cut into slices.