Stir mascarpone cheese; let stand at room temperature 30 minutes. Whisk egg yolks, sugar and milk in top of a double boiler until mixture is thickened (ribbon stage) and a thermometer reads 160°. Remove from heat; cool completely. Whisk in mascarpone cheese until almost smooth. Whip heavy cream and vanilla until soft peaks form.
Combine lemon juice and limoncello. Briefly dip 24 ladyfingers into lemon mixture and place in the bottom of an 11x7-in. baking dish. Top with half the mascarpone mixture, half the lemon curd and half the whipped cream. Repeat layers. Refrigerate, covered, 6 hours or overnight. To serve, garnish with candied lemon peel as desired.