Whisk together pudding mix, cold milk, and nutmeg in a bowl until combined. Set aside to set up for about 5 minutes.
Whisk warm water, espresso powder, and white sugar together in a separate bowl until dissolved. Add coffee liqueur; whisk until combined. Set aside.
Beat mascarpone, confectioner’s sugar, vanilla, and salt together in a bowl with an electric mixer until smooth and combined. Pour in heavy cream. Beat on low speed, gradually increasing to medium-high, until mascarpone cream holds stiff peaks.
Whisk pudding briefly until smooth; fold in half of mascarpone cream until combined.
Remove ladyfingers from their packaging. Quickly dip them, 1 at a time, into espresso mixture, then place them in a single layer in the bottom of an 8x8-inch square baking dish. Place a layer of sliced bananas over ladyfingers. Top with half of pudding mixture; spread into an even layer over bananas. Repeat this layering of dipped ladyfingers, banana slices, and pudding mixture (pan will be very full). Pipe or spread remaining whipped mascarpone cream over the top of the final pudding layer.
Refrigerate until chilled, at least 4 hours. Dust top of the tiramisu with cocoa powder just before slicing and serving. Store in the refrigerator.
