Beat egg yolk and sugar until pale and creamy then fold in the mascarpone. Then whisk the egg white until stiff and gently fold this into mascarpone mixture.
In a separate bowl, mix the coffee and marsala or brandy.
Dip half the sponge fingers into the coffee mix and lay onto the bottom of a small, high-sided oven dish and cover with half the mascarpone mixture. Then dip the remaining sponge fingers and place on top of the first layer. Cover with the remaining mascarpone mixture and refrigerate until needed. Dust with cocoa before serving.