Combine the espresso, water and the Grand Marnier, set aside. Combine the mascarpone and the rum in a large bowl, beat until smooth. In a medium bowl beat the eggs yolks, and 3 tablespoons of the sugar together until smooth, set over a hot water bath and beat for 3 minutes until light and foamy. Remove from the heat, and without waiting beat this mixture into the mascarpone mixture. Set aside. Whip the cream until the cream holds a firm shape. Fold in vanilla. In two small additions, fold about 1/3 of the mascarpone mixture into the whipped cream. Then fold the whipped cream into the remaining mascarpone mixture. Set aside. Beat the egg whites and salt on medium until foamy. Increase the speed and add the remaining 3 tablespoons sugar, beat until glossy, not dry. Fold the egg whites, all at once into the mascarpone.
To assemble: Cut the sponge cake in half crosswise. Place in a pan large enough to fit the halved sponge cake snugly. Moisten the cake with half of the espresso mixture. Top with half of the mascarpone mixture, spreading it out evenly. Sprinkle generously with cocoa powder, and powdered sugar. Top with the other half of the sponge cake layer. Moisten with the remaining espresso mixture. Top with the remaining mascarpone mixture, spreading evenly. Sprinkle generously with the cocoa powder and powdered sugar. Refrigerate, uncovered, for 2 hours.
Serve with Espresso Creme Anglaise. Yield: 2 dessert portions