In a medium heatproof bowl, whisk together egg yolks, sugar, and milk. Place over a saucepan of simmering water and whisk constantly until thickened, about 8–10 minutes. Remove from heat and let cool completely.

In a large bowl, beat mascarpone until smooth. In another bowl, whip heavy cream to stiff peaks. Gently fold cooled egg mixture into mascarpone, then fold in whipped cream until combined.

In a shallow dish, whisk warm water and matcha powder until dissolved.

Briefly dip each ladyfinger into matcha mixture, ensuring they don’t become too soggy.

Arrange dipped ladyfingers in a single layer in an 8x8 inch dish. Spread half of the mascarpone mixture over cookies. Repeat with another layer of dipped ladyfingers and remaining mascarpone cream.

Cover and refrigerate at least 4 hours or overnight.

Dust with additional matcha powder before serving.