In a large mixing bowl, combine 1 cup of mascarpone cheese, 1 cup of heavy cream, 1/2 cup of granulated sugar, 1 teaspoon of vanilla extract, and 1/2 teaspoon of ground nutmeg. Using an electric mixer, beat the mixture on medium speed until it becomes smooth and creamy, forming soft peaks that hold their shape. This should take about 4-5 minutes.
Pour 1 cup of eggnog into a shallow dish. Quickly dip each ladyfinger cookie into the eggnog, ensuring they get thoroughly soaked but remain firm (about 1-2 seconds per side to avoid sogginess).
In a rectangular dish (approximately 9x13 inches), lay out the soaked ladyfingers side by side to form a complete layer at the bottom, covering the entire base evenly.
Spoon half of the prepared mascarpone mixture over the layer of ladyfingers. Use a spatula to spread it evenly across the cookies, ensuring it reaches the edges for a uniform look.
Repeat the process by adding another layer of dipped ladyfingers on top of the mascarpone layer, followed by the remaining mascarpone mixture. Again, smooth it out gently with the spatula.
Cover the dish with plastic wrap securely, then refrigerate for a minimum of 4 hours or, preferably, overnight.
Prior to serving, generously dust the top of the dessert with cocoa powder using a fine sieve. Sprinkle some extra ground nutmeg over the cocoa for an extra festive touch.
Notes
For an elegant touch, consider serving individual portions in small glasses or dessert cups.