Start by combining espresso and marsala in a small bowl.
Allow lady fingers to soak in the espresso and marsala mixture for only a couple seconds. They will fall apart if you keep them in any longer. Set aside.
Whisk eggs yolks and sugar in a double broiler over medium heat. Whisk continuously for 5 minutes or until thick. Take off the heat and allow to cool.
Meanwhile, with a stand mixer with the whisk attachment whip heavy cream and vanilla into soft peaks. Takes about 5 minutes. Should be the same consistency of whipped cream.
In a medium bowl combine mascarpone cheese, pumpkin puree, cinnamon, nutmeg and cooled egg yolk mixture. Fold in the whipped cream.
Layer 1 soaked ladyfingers on the bottom of each glass. You will have to break in half for them to fit.
Layer about 1 tablespoon of the pumpkin egg mixture onto of the ladyfingers. Rotating between the two. You will have 4 layers depending on how large your glass is. You will end on the pumpkin egg mixture.
Top with a dusting of cocoa powders and dark chocolate shavings.
Cover and store in the refrigerator until flavors develop. At least 4 hours. This dessert can keep in the refrigerator for 1-2 days. Enjoy!