Mix the coffee with half of the brandy and half of the Marsala.
Place half of the biscuits tightly together on the bottom of deep serving dish and splash them with half of the coffee mixture so they are soaked through. Don't leave unabsorbed liquid in the dish.
Whisk the egg yolks with the sugar and remaining brandy and Marsala until foamy. Add the mascarpone and continue to whisk until smooth.
In another bowl, whip the egg whites to firm peaks and fold them into mascarpone cream.
Spread half the mixture over the biscuits.
Splash the remaining biscuits with the rest of the coffee mixture, layer them in the dish and cover with remaining mascarpone cream.
Sprinkle some cacao or ground chocolate on top. Refrigerate for at least 5 hours.