Beat whipping cream, sugar, and vanilla until soft peaks form and add mascarpone cheese continuing to whip to stiff all the peaks.
Dip Lady Fingers biscuits in coffee (just a quick dunk is enough) and place in a pan to make the first layer.
Spread half of the whipped cream mixture on top of first layer of biscuits and repeat the process for the second layer. Dust the top of the dessert with cocoa powder using a sieve. Refrigerate for about 2-4 hours.