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Combine the mascarpone and Nutella in a small mixing bowl and stir or beat with an electric mixer until well combined.
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Place the heavy cream into a large mixing bowl and beat with an electric mixer on medium just until it begins to thicken.
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Gradually beat in the powdered sugar, then turn the speed to high and beat until stiff peaks form. (The peaks are stiff when you can pull the beaters out and the whipped cream doesn’t collapse on itself.)
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Gently fold the mascarpone-Nutella mixture into the whipped cream.
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Place the coffee and Frangelico (or rum or additional coffee) in a shallow bowl.
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Working with half of the ladyfingers, dip the top and bottom of each cookie in the coffee mixture. You don’t want the lady fingers to be soggy; just make sure each cookie has absorbed some of the liquid.
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Arrange the ladyfingers in one layer in the bottom of an 8-inch square baking dish. Break the cookies if necessary to completely cover the bottom of the dish.
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Gently spread half of the whipped cream mixture over the lady fingers.
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Repeat the process with the remaining ladyfingers, coffee, and Nutella whipped cream.
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Top with cocoa powder; a sifter is helpful for dusting the cocoa powder in an even layer. Cover loosely with plastic wrap and refrigerate overnight before serving.