In a large mixing bowl, combine the mascarpone cheese, heavy cream, sugar, vanilla extract, and ground nutmeg. Using an electric mixer, beat on medium speed until the mixture is smooth and creamy, forming soft peaks.
In a shallow dish, pour the eggnog. Quickly dip each ladyfinger cookie into the eggnog, ensuring they are soaked but not soggy.
In a rectangular dish (about 9x13 inches), begin by layering the soaked ladyfingers at the bottom, covering the entire base.
Spoon half of the mascarpone mixture over the ladyfingers, spreading evenly with a spatula.
Repeat with another layer of dipped ladyfingers, followed by the remaining mascarpone mixture on top, smoothing it out.
Cover the dish with plastic wrap and refrigerate for at least 4 hours or overnight for best results.
Just before serving, dust the top generously with cocoa powder and sprinkle extra ground nutmeg for garnish.