Prepare the coffee and leave to cool, then mix it with half of the Baileys in a shallow dish. Dip the lady finger in it on both sides - let the liquid soak up but the biscuits should not become soggy. Layer half of the soaked biscuits in a smallish glass dish - put the rest aside.
Separate the egg. Mix the yolk with the sugar until pale, then add the remaining Baileys and mascarpone. Beat the egg white until foamy and thick then carefully fold it into the mascarpone cream. Spread half of this over the layer of biscuits.
Repeat the layering with the remaining biscuits and mascarpone cream.
Cover with clingfilm and chill for at least 3 hours or, if possible, overnight.
Just before serving, dust with cocoa powder through a tea-strainer.