Whisk the egg yolk, sugar and vanilla over bain marie until the mixture becomes pale yellow. In the other bowl mix the mascarpone cheese and cream whisk until the mixture thicken then add the egg yolk mixture and the zest of 1 orange.
Dip each lady finger in the coffee, working one at a time, and line the bottom of a dish, approximately 20cm round or square.
Once the bottom of the dish is covered in an even layer of coffee-soaked lady fingers, top with 1/2 of the mascarpone mixture. Dust with 1/2 of the cocoa powder.
Repeat with another lady finger layer, then finally the remaining mascarpone and a final dusting of cocoa powder.