In a medium bowl, whisk together the egg yolks and 3 Tbsp of sugar until light yellow in color (~2-3 minutes). Add rum and mix until fully combined. Add the marcarpone and mix until combined. (Note: The mixture should be smooth at this stage, but take care not to overbeat.) Set aside.

In a separate medium bowl, beat the egg whites with remaining 2 Tbsp of sugar until stiff peaks form. (see note below).

Fold the whipped cream, lemon juice, and vanilla into the beaten egg whites. Then fold the egg white mixture into the mascarpone mixture. Set aside.

Pour the coffee into a shallow bowl; separate each ladyfinger into two halves. Working with one half-ladyfinger at a time, dip it into the coffee until fully saturated. Place four ladyfingers in each martini glass; fill each glass with 1/2 cup of the mascarpone cream. Cover glasses with plastic wrap and refrigerate overnight. Dust with cocoa powder just before serving; serve chilled.