Line 6 (1-cup) glass custard cups with plastic wrap. Spoon 2 teaspoons Kahlua into each cup. Soak 3 lady fingers in each cup, turning to coat both sides. Arrange lady fingers around sides of cups. Set aside. In a large bowl, whisk mascarpone, sugar, and remaining 2 tablespoons Kahlua until just smooth.
Whisk in pudding. Divide pudding mixture equally among prepared cups. Cover tightly and refrigerate until set, about 30 minutes, or up to 1 day. Uncover cups. Invert cups onto plates and remove plastic wrap. Top with whipped topping and sprinkle with cocoa powder just before serving.
