In a large pot with 1-inch water, bring to a boil and reduce to simmer.

In a large heatproof bowl, beat the egg yolks and sugar together with a whisk for 2 minutes. Add 2½ tablespoons marsala. Place the bowl over the simmering water. Whisk until the mixture is thick and doubled in volume, about 10 minutes. Remove from heat and stir in the mascarpone until blended.

In another large bowl, whip the heavy cream until soft peaks. Fold the whipped cream into the mascarpone mixture until combined.

In a medium bowl, add the hot espresso and chocolate, stir to melt the chocolate. Add the rum, vanilla extract, and 1 tablespoon marsala. Stir again to combined. Let it cool for 15 minutes.

Prepare a 9 x 5 x 3-inch loaf pan. Dip and roll each Savoiardi into the cooled coffee mixture for 5 seconds. Place 7 of them in a single layer in the loaf pan. Spread about 1/3 the mascarpone cream evenly over the dipped Savoiardi. Smooth the top with a spatula. Repeat 2 more times with the dipped Savoiardi and the mascarpone cream. Cover the pan with aluminum foil. Refrigerate for 24 hours. Sprinkle cocoa powder on top of the Tiramisu before serving.