Combine espresso and marsala wine in a bowl. Set aside.
In the bowl of a stand mixer, combine granulated sugar, egg yolks, and whole egg. Place bowl over a pot of barely simmering water. Stand over the bowl and continually whisk mixture together until it becomes light yellow in color. Continue to whisk until mixture slightly thickens and reads a temperature of 140 degrees F. Remove from heat.
Place bowl in mixer fitted with whisk attachment. Whip on medium-high speed until the hot mixture has cooled to room temperature. Stop machine and add the mascarpone in two additions. Whisk on medium speed until smooth. Add vanilla extract and mix until incorporated.
*If making individual portions, reserve 4-5 ladyfingers per serving.
Dip each ladyfinger in coffee-rum solution. Do not soak the ladyfinger, just quickly dip it in to absorb some moisture. Place 2-3 ladyfinger in the bottom of individual cups, or line about 12 on the bottom of a baking pan. *Note: number of ladyfingers needed will vary according to size of ladyfingers and size of container being used.
Spread 1/2 of mascarpone filing in an even layer over ladyfingers. Repeat second layer of dipped ladyfingers, follow with remaining half of mascarpone filling. Smooth the top layer using the back of a spoon or a mini offset spatula.
Combine cocoa powder and confectioners' sugar in a small bowl. Dust the surface of the tiramisu with cocoa-sugar mixture using a small strainer. Cover with plastic wrap or cover with lid, and chill for at least 2 hours or up to overnight. Serve individual servings or cut into portions.