In a small bowl, whisk the cocoa powder, corn syrup and hot water together until smooth. Mix in the Marsala and 2 tsp of the Grand Marnier.
Break the ladyfingers in half and place them on a plate. Drizzle them with the coffee and the remaining 2 tsp Grand Marnier.
In a mixing bowl, combine the egg mixture and confectioners' sugar. Whisk until light and foamy. Whisk in the cocoa mixture, then fold in the mascarpone. (You should have about 1 cup of filling.)
Place half a ladyfinger on the bottom of each of four wide-mouthed Champagne glasses. Layer about 8 teaspoons of the filling over the ladyfinger half, then 2 more ladyfinger halves, and finally about 8 more teaspoons of filling. Cover the boats with plastic wrap and chill for 2-3 hours before serving.
Makes 4 servings.