Begin by boiling water and steeping the chai tea bags in a heatproof container for about 10 minutes. Let the tea cool to room temperature.

In a mixing bowl, combine mascarpone cheese, granulated sugar, egg yolks, dark rum, heavy whipping cream, pumpkin puree, and vanilla paste. Beat on medium speed for about 2-3 minutes until light and fluffy.

Once the chai has cooled, quickly dip each lady finger into the chai for about 1-2 seconds; avoid soaking them. Line the bottom of a loaf pan with the dipped lady fingers.

Spread half of the pumpkin mascarpone mixture over the lady fingers in the loaf pan. Smooth it out, then add another layer of dipped lady fingers followed by the remaining mascarpone mixture.

Cover the loaf pan tightly with cling wrap and refrigerate for at least 6 hours, preferably overnight.

Before serving, remove the cling wrap and dust the top with cocoa powder and ground cinnamon using a fine sieve.