Put egg yolks and sugar in large bowl. Whisk until light and creamy in appearance, before adding cream and vanilla. Whisk until homogenised prior to folding through the marscapone. Set aside.
Pop the milk and 1 tbsp of nutella in a pan. Heat and whisk to combine. Remove and leave to cool. Briefly dunk the biscuits in the nutella mix. Lay in the bottom of a baking dish. Top with a third of your cream. Add the rest of your nutella to the remaining nutella mix. Pop on top of the cream. Finish with the rest of the cream. Dust with cocoa.