Preheat the oven to 375 degrees F (190 degrees C).
In medium saucepan, boil milk, water, butter, sugar and salt on high heat.
When the milk mixture is boiling, add the flour all at once, reduce the heat to medium and continuously mix everything. The dough will start to form into a ball. Keep mixing for another 3-4 minutes until light crust forms on the bottom of the pan.
Transfer the dough into a mixing bowl with paddle attachment and mix it for a few minutes on low speed until the mixture is at room temperature.
Add the eggs one at a time, beating well after each addition. This will help to get egg absorbed into the dough quicker. Don’t add more than 2 eggs at a time. This is important, as you might not need to add all the eggs. The dough should not be too runny, yet not too thick.
Transfer the batter into a pastry bag and pipe into 3-inch strips 2 inches apart. Level peaked tops with wet fingertip.
Bake for 10 minutes and open the oven door ajar. Insert a wooden spoon. Continue baking for 10 more minutes. Rotate sheets top to bottom and back to front. Bake about another 10 minutes. When you take the éclairs out, it should stay puffed. If it falls flat, put it back in the oven, turn the oven off and let it cool in the warm oven.
While the éclairs are baking, prepare the filling. In a small bowl, combine Marsala wine, instant espresso and vanilla extract. Set aside.
In a medium saucepan, beat the egg yolks with sugar until pale.
Place the saucepan over simmering water and add wine mixture. Cook for 5-7 minutes stirring constantly until thick. Then remove from simmering water and cool slightly.
In a mixing bowl with whisk attachment, beat the heavy cream until hard peaks form.
Add mascarpone cheese and whipped cream into cooled custard mixture and gently mix everything with folding motion.
Once the éclair shells are cooled completely, cut them horizontally. Pipe the tiramisu filling on bottom shell and put the top back on right before serving. Keep refrigerated.