Place the mascarpone, custard, Marsala or brandy and 1 tablespoon of the coffee in a large bowl and beat with a hand-held electric whisk for 2–3 minutes until light, fluffy and smooth.
Take one sponge finger at a time and dip into the cold coffee, taking care not to let the sponge get too soggy. Line a shallow dish with half the sponge fingers or divide between shallow individual dishes. Spoon over half the creamy mixture, then sift over half the cocoa powder.
Repeat with the remaining coffee-dipped sponge fingers, cream and cocoa powder. Chill until ready to serve.