In a medium saucepan, whisk together egg yolks and sugar until well blended. Whisk in milk and cook over medium heat, whisking constantly until mixture reaches a boil, then for 1 more minute. Remove from heat and allow to cool slightly. Cover tightly and chill in refrigerator for 1 hour.
In the meantime, remove mascarpone cheese from refrigerator and let it come to room temperature. With a mixer, beat heavy cream and vanilla extract until it resembles whipped cream. Make sure it’s not at all runny, but don’t overbeat or it’ll turn into butter.
In a small bowl, combine coffee, coffee liqueur, and vodka. Remove egg yolk mixture from refrigerator and whisk in mascarpone until smooth.
Arrange ladyfingers flat in the bottom of a 9 x 9-inch dish. Drizzle ladyfingers with coffee mixture. If liquid starts to collect in the bottom of the dish, drain some of the excess or your tiramisu won’t maintain its shape when cut. Spread half of the mascarpone mixture over ladyfingers, then half the whipped cream over that. Repeat layers and sprinkle top layer of whipped cream with cocoa.
Cover and refrigerate 4 to 6 hours. Cut into 9 squares and serve cold.