Break each graham cracker sheet into 4 equal pieces along perforations. Remove and reserve 2 graham cracker pieces.
Beat whipping cream and vanilla at high speed with an electric mixer until soft peaks form. Cover and chill.
Meanwhile, bring a small amount of water to a boil in a medium saucepan over medium heat. Whisk together egg yolks and sugar in a medium-size stainless steel bowl. Place metal bowl with egg mixture over boiling water in saucepan, making sure bottom of bowl does not touch boiling water. Whisk egg mixture constantly, over boiling water, 6 to 7 minutes or until a candy thermometer registers 165°. (Mixture should be thick, pale, and hot to the touch.) Transfer to a small bowl; cover and chill 15 minutes or until cool.
Beat cream cheese at medium speed 30 seconds or until creamy. Gradually add cooled egg mixture and orange liqueur, beating until smooth. Gently fold in whipped cream mixture.
Place espresso in a shallow dish or bowl. Quickly dip 18 graham cracker pieces, 1 at a time, into espresso, and place in an 8-inch square lightly greased aluminum foil-lined baking pan to cover bottom. Spread one-third of cream cheese mixture evenly over crackers. Repeat layers twice. Sprinkle with chopped chocolate, and top with marshmallows.
Broil 5 inches from heat 30 seconds to 1 minute or until marshmallows are puffed and golden. Let cool 10 minutes. Dust with cocoa. Cover and chill at least 6 hours or up to 24 hours.
Break each reserved graham cracker piece into thirds. Insert 1 corner of 1 graham cracker piece into top of each serving. Garnish, if desired. Serve cold.
*2 Tbsp. milk may be substituted.