In a large bowl, combine whipping cream, powdered sugar, vanilla extract, and mascarpone cheese together. Whisk until creamy.
In a separate bowl, fill with 2 cups strong coffee and let it cool.
Dip lady fingers into coffee and begin layering the glasses with ladyfingers followed by mascarpone cream. Repeat until 2-3 layers have been achieved depending on the height of the glass.
Top with cocoa powder, sifted and serve.