Some hours before starting to make the cake, take the mascarpone and egg out of the refrigerator.
Separate the yolk from the egg white and whisk the egg white. Then set aside.
In a bowl, combine mascarpone, yolk, sugar, and Marsala. Stir with a spoon, then whisk the mixture to make it puffy and airy.
Add egg white and incorporate it with a spatula to the cream.
Pour the cold coffee into a deep dish.
Wet the cookies lightly, and cover the bottom of the baking dish with a layer of biscuits.
Pour almost half of the cream over the cookies, spreading it.
Soak other cookies in coffee and cover the previous layer. Spread almost all the cream on the biscuits, keeping a few tablespoons aside.
Make a final layer of cookies soaked in coffee. Use what is left of the cream to spread a thin layer.
Dust with cocoa, cover with foil and store in the refrigerator until ready to consume. The cocoa is not added just before serving. It is an ingredient.