Beat the egg yolks, sugar and lemon zest with the whisk of the hand mixer for at least 5 minutes until thick and creamy. Stir in the mascarpone by the spoonful.
Mix espresso and liqueur. Cut the lady fingers in half and put 4 halves each into 4 wide glasses or bowls. Sprinkle with half of the espresso mixture. Put half of the mascarpone cream on the sponge cakes and smooth it down a little.
Spread the remaining biscuits on top and sprinkle with the remaining espresso mixture. Spread the rest of the cream on top. Chill tiramisu for at least 3 hours. Dust thickly with cocoa shortly before serving.