Whip the mascarpone cheese on medium speed until creamy, then set it aside.
In a heat-proof bowl, combine the egg yolks and sugar. Place the bowl over a saucepan with simmering water, ensuring the water doesn’t touch the bottom of the bowl. Whisk for exactly 2 minutes, then remove from heat.
Pour the egg yolk and sugar mixture into the mascarpone cheese. Add salt and vanilla, then gently whisk until just combined.
In a separate bowl, whip the cold heavy cream until stiff peaks form.
Gradually fold the whipped cream into the mascarpone mixture in 2-3 additions, being careful not to deflate the mixture.