Line a small square pan (18–20 cm / 7–8 inch) or a loaf pan with parchment for easy lifting.
Spread about 1 tsp Nutella on each biscuit. Sandwich with another biscuit to make 9 biscuit sandwiches.
Pour milk into a shallow bowl. Quickly dip each sandwich in milk (fast dunk on both sides), then arrange tightly in the pan in one layer.
In a mixing bowl, mix mascarpone and powdered sugar briefly until smooth. Add 2 tbsp Nutella and mix again.
Pour in the cold heavy cream and whip/mix until the filling is smooth and thickened (soft peaks).
Spread the filling evenly over the biscuit layer. Cover and refrigerate for 1–2 hours, or until sliceable.
Dust with cocoa powder, then cut into squares and serve.