Beat the egg yolks and sugar with the whisk of the hand mixer for at least 5 minutes until thick and creamy. Stir in mascarpone by the spoonful. Add lemon zest.
Place half of the lady fingers side by side in a flat form (approx. 25x18 cm). Mix espresso and Marsala and drizzle half over the sponge cakes.
Spread half the mascarpone cream on the biscuits. Spread the remaining biscuits side by side and sprinkle with the rest of the espresso. Spread the rest of the cream on top.
Chill tiramisu for at least 3 hours. Dust with cocoa before serving.