In a heat-safe bowl, add egg yolks, sugar, and vanilla bean paste.
Double boiler: Fill a pot with an inch of water and bring it to a boil. Place the heat-safe bowl with the egg yolk mixture on top of the pot, ensuring the bottom of the bowl doesn't touch the water. Whisk well until the mixture thickens slightly and turns pale yellow (~5 minutes). Turn off the heat and remove the bowl from the pot.
Fold in the mascarpone cheese well until minimal clumps remain.
In a separate bowl, use a handheld electric mixer to whip the heavy cream until soft peaks form. Combine the cream with the mascarpone mixture.