Spread about 1 teaspoon Nutella on one biscuit and top with another biscuit to make a sandwich. Repeat to make enough sandwiches for two layers.
Dip each sandwich very briefly in hot milk (quick in-and-out). Arrange in a 20 cm pan to form the first layer.
Mix mascarpone and powdered sugar until smooth. Add cold whipping cream and whip until firm.
Spread half of the filling over the first biscuit layer.
Make a second layer of Nutella biscuit sandwiches, briefly dipped in milk, and place over the filling.
Spread the remaining filling on top.
Refrigerate for 3 hours. Dust with cocoa powder, slice, and serve.