In a shallow bowl wide enough to dip the ladyfingers in, make the coffee syrup by combining coffee and 2 tablespoons of Kahlúa. Set it aside.
Make the zabaglione by combining egg yolks, ¼ cup granulated sugar, and ¼ cup Kahlúa in a heatproof bowl. Set the bowl over an inch of simmering water in a saucepan. The water should not touch the bottom of the bowl, or it will cook the eggs.
Continuously whisk the mixture for 12-15 minutes. It should thicken, double in volume, and lighten in color. Remove from heat and let it cool.
Combine mascarpone cheese, heavy cream, powdered sugar, and vanilla extract in a large bowl. Mix on low speed and increase as you go along until smooth and incorporated.
Fold a cup of mascarpone mixture using a spatula into the cooled zabaglione. Mixing together at once may deflate the mascarpone mixture.
Combine the remaining mascarpone mixture with the zabaglione. Mix until incorporated.
Dip the ladyfingers in coffee syrup one at a time and arrange them in a dish.
Cover them evenly with half of the mascarpone mixture and dust with cocoa powder.
Add another layer of ladyfingers, then spread the remaining mascarpone mixture.
Cover with plastic wrap and refrigerate for at least 4 hours.
Slice the chocolate thinly on a cutting board with a sharp knife.
Dust with cocoa powder and top with chocolate shavings before serving.