Brew 2 cups of strong espresso and allow it to cool to room temperature. This will be used to soak the Oreos so they absorb that signature coffee flavor.
In a heatproof bowl, combine the egg yolks and superfine sugar. Place the bowl over a pot of simmering water (double boiler method) and whisk continuously for about 5-7 minutes, until the mixture becomes pale and slightly thickened. Remove from heat and allow to cool completely.
Once the egg yolk mixture has cooled, gently fold in the mascarpone cheese and vanilla extract until smooth and well combined.
In a separate chilled bowl, beat the whipping cream until stiff peaks form. Be careful not to overbeat. Gently fold the whipped cream into the mascarpone mixture, creating a light, airy filling.
Quickly dip each Oreo into the cooled espresso, making sure not to soak them too long or they will become soggy. Just a quick dip to absorb some espresso flavor.
In a 9x9 inch dish or similar-sized serving dish, arrange a layer of soaked Oreos to cover the bottom. Spread half of the mascarpone cream mixture evenly over the Oreos. Repeat with another layer of dipped Oreos and the remaining cream.
Sift the unsweetened cocoa powder over the top layer of cream for a beautiful, classic finish.
Cover the tiramisu with plastic wrap and refrigerate for at least 4 hours, preferably overnight. This allows the flavors to meld and the dessert to set perfectly. Serve chilled and enjoy!