Using an electric mixer, whip the heavy whipping cream in a large bowl until stiff peaks form. Set aside.
In another bowl, whisk the egg yolks with powdered sugar until thick and pale in color. Then, gently incorporate the mascarpone cheese until smooth.
Fold the whipped cream into the egg yolk mixture gently until no streaks remain.
Combine the cooled coffee, dark rum extract, and eggnog in a shallow dish. Dip each gingerbread cookie quickly into this mixture before arranging them in a deep baking dish.
Layer dipped cookies in the bottom of the dish followed by a generous layer of cream mixture. Repeat the process until all ingredients are used, finishing with the cream on top.
Sprinkle ground cinnamon over the top layer. Optionally, add crushed gingerbread for a decorative touch.
Cover with plastic wrap and refrigerate for at least 2 hours to allow the flavors to meld and the dessert to set.
Serve chilled, scooping out portions to reveal the delightful layers of gingerbread and creamy filling.