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

Divide batter between two ramekins and microwave on high for 2 minutes. Cool briefly, then slice each sponge in half lengthwise.

In another bowl, whisk together mascarpone cheese, heavy cream, and powdered erythritol until smooth with soft peaks.

In a shallow bowl, mix coffee and dark rum until well combined. Use this mixture to soak the sponge.

Dip sponge slices into the coffee mixture, then layer them with the creamy filling in serving glasses.

Dust the top with cocoa powder and chill in the refrigerator for at least 30 minutes before serving.