In a mixing bowl, combine melted unsalted butter, a beaten egg, coconut flour, erythritol, coconut milk, baking powder, and vanilla extract. Whisk until smooth.

Divide the batter into two 3-inch ramekins and microwave for about 2 minutes, or until the cakes spring back when pressed.

Turn the cakes out onto a board and slice each in half lengthwise, creating four layers.

In another bowl, whisk mascarpone cheese, heavy cream, and powdered erythritol until smooth and creamy.

In a shallow bowl, mix brewed coffee with dark rum, stirring well. Adjust sweetness if desired.

Dip each sponge layer quickly into the coffee-rum mixture, then layer them alternately with the mascarpone mixture in serving glasses.

Dust the top with cocoa powder, cover with plastic wrap, and chill in the refrigerator for at least 30 minutes.