Break the sponge fingers into small pieces and place them in an ovenproof dish (approx. 25 x 15 cm). Sprinkle the biscuits with coffee. Wash the orange with hot water and rub dry. Rub about half of the skin thinly. Halve the orange and squeeze the juice.
Mix mascarpone, yoghurt, sugar, vanilla sugar, orange peel and 3 tbsp. orange juice to a smooth cream. Spread the cream on the lady fingers. Keep cool until serving. Dust with cocoa before serving.