In a glass bowl combine egg yolks with granulated sugar, place the bowl over a saucepan with boiling water (on low heat). And make sure that the bowl is not touching the simmering water.
Keep whisking the egg yolks and the sugar for 8-10 minutes until the egg mixture reaches 160°F (70°C). The sugar will melt and you will no longer see any sugar granules in the mixture. Remove from heat and allow it to cool slightly. This is done to pasteurize the eggs.
In a separate bowl, using an electric mixer whip the mascarpone with vanilla until creamy and well combined. Beat in the warm egg yolk mixture and set aside.
In a separate bowl, beat fresh heavy cream until medium peaks (not stiff) then fold them in the mascarpone mixture gently (do not overmix).
The easiest way to dip the Oreo in the coffee is using a medium shallow bowl. Quickly dip the Oreos (just once on each side, otherwise the Oreos will become soggy and break), and arrange in a single layer in an 8-inch square pan.
Spread half of the custard cream over the first layer of the Oreos, followed by another layer of dipped Oreos, and finally top with the remaining custard cream.
Cover with plastic wrap, and chill in the fridge for at least 3-4 hours and preferably overnight.
Using a fine-mesh strainer, dust the top generously with cocoa powder right before serving. Cut into 12 pieces and serve.