Using a food processor, crush the ladyfingers. Add pre-whisked eggs and melted butter (2 tbsp at a time) until the dough comes together.
Roll the mixture into 1” or 2” balls. Using the back of a measuring spoon or your thumb, create a dent in the center, leaving a ¼” border. Bake for 8-10 minutes until golden brown.
In a large mixing bowl or stand mixer, whisk together egg yolks, sugar, and mascarpone cheese. Fold in whipped cream.
To assemble cookies, lightly brush the center with rum and espresso. Top with the filling, smoothing the top, and dust with unsweetened cocoa. Refrigerate any leftovers.
Fill each cookie, smooth the top, and dust with cocoa powder. Enjoy your Tiramisu Cookies!