Whisk yolks and sugar with an electric mixer until pale and creamy, about 5 minutes; gently fold in mascarpone and cream, mixing lightly until well combined.
Spread some of the mascarpone cream into the base of a 30cm-square ceramic dish; top with a single layer of pandoro slices; brush or drizzle some combined coffee and liqueur onto pandoro; cover with one-third of the mascarpone cream. Repeat layers 2 times, ending with the cream. Cover with plastic wrap and refrigerate for at least 2 hours.
Dust generously with cocoa powder and serve.