In the top part of a double boiler, beat eggs and sugar together until the mixture is pale yellow in color. In the bottom part of the double boiler, bring water to a boil; reduce heat to a simmer. Place egg yolk mixture over water and gradually add Marsala, beating continuously. Scrape bottom and sides of pan occasionally. Cook 6-10 minutes or until soft mounds form. Transfer to a bowl, cover and refrigerate for 30 minutes.
Whip cream with 2 tbsp. sugar until soft peaks form. Fold in Mascarpone and Zabaglione and mix well until blended. Cover and refrigerate 1 hour.
In a seperate bowl, mix espresso, 2 tbsp. sugar, Brandy/Marsala and vanilla. Arrange 16 cookeis on the bottom of a 9x13-inch pan. Carefully spoon about 1 tbsp. of mixture over each cookie so they are well saturated but not falling apart. Spoon 1/3 cheese mixture over cookies and sprinkle with 1 tbsp. cocoa. Repeat two more times ending with cocoa.
Cover and refrigerate at least 5 hours or overnight so that the cookies can soften as they absorb moisture. Garnish and serve.