Mix the coffee with the milk in a shallow bowl and set aside.
Spread a teaspoon of Nutella on a biscuit and sandwich with another biscuit.
Dip each biscuit sandwich briefly into the coffee-milk mixture and arrange in a single layer in a baking dish/tray.
In a mixing bowl, beat mascarpone with powdered sugar just until combined.
Add the cold heavy cream and whip until smooth and airy (not completely stiff).
Divide the filling into two equal parts. Keep one part plain.
Mix Nutella into the second part briefly until evenly combined.
Spread the plain filling over the biscuits. Then spread the Nutella filling on top.
Refrigerate for 2–3 hours.
Before slicing, dust with cocoa powder and cut into squares.