Mix the mascarpone with the sugar well. Stir in eggnog. Fold in the whipped cream.
Mix the espresso and amaretto and soak the ladyfingers only briefly, otherwise they will soften. Place part of the ladyfingers in the baking dish, 1/2 of the mascarpone mixture on top. Put the rest of the ladyfingers on top and finally the remaining mascarpone mixture.
Let it steep in the fridge overnight and sift cocoa powder over it just before serving.