Whisk egg yolks and sugar in top of double boiler over simmering water, stirring continuously until the mixture is thick and lemony, about 6 minutes. Add Marsala and continue whisking until mixture is thick enough to coat the back of a spoon, about 3 minutes.
Sprinkle gelatin over 1 tablespoon water in a small cup. Heat in the microwave for 15 seconds. Stir to dissolve completely. Stir into the egg yolk and wine mixture. Remove to a bowl and cool.
Line a 4-quart bowl with plastic wrap, draping extra over the sides. Line the bowl with the ladyfingers, trimming the tops flat if necessary.
In a clean, large bowl, whip the egg whites to stiff peaks. Set aside.
In another large bowl, beat the cream to soft peaks. Fold whipped egg whites and whipped cream into the cooled egg yolk and wine mixture.
Pour mixture into the lined bowl. Cover the top with ladyfingers. Cover and refrigerate overnight.
To serve, gently invert onto plate and dust top with confectioners' sugar and cocoa, if desired.