In a small saucepan, whisk together the egg yolks and sugar, then whisk in the milk. Set over low heat or a bain‑marie and cook, stirring constantly, until the mixture thickens slightly and feels silky and smooth, about 80–82°C (176–180°F). Remove from the heat, strain through a fine sieve, and let the custard cool completely.
Beat the mascarpone on low speed just until smooth and creamy. Gradually add the cooled egg yolk custard and vanilla and mix briefly until you get a smooth, lump‑free mascarpone cream.
In a separate bowl, whip the cold heavy cream to stiff peaks. Gently fold the whipped cream into the mascarpone mixture with a spatula, using slow, upward motions so the cream stays light and airy.
In a shallow bowl, stir together the cooled coffee and the Amaretto or coffee liqueur. Prepare your dish for assembling the tiramisu, either a rectangular baking dish or a springform pan.
Quickly dip the ladyfingers into the coffee mixture (a very brief dunk so they do not soak through), then arrange them in a single even layer in the dish. Spread half of the mascarpone cream on top and smooth the surface.
Repeat with a second layer of dipped ladyfingers and the remaining mascarpone cream. Smooth the top, cover the dish well, and refrigerate for at least 6 hours, preferably overnight, so the dessert sets.
Right before serving, generously dust the top with sifted unsweetened cocoa powder. Slice with a clean knife or spoon out portions, as you prefer.