Preheat oven to 350° F. Prepare single loaf baking pan by spraying with cooking spray. Set aside.
Beat together mascarpone cheese and sugar until fluffy. Add eggs, vanilla, and milk and mix until just combined. Add flour, baking powder, baking soda, and salt and continue to mix until combined. Do not over mix.
In a separate bowl, mix together cocoa and espresso powder. Add water and stir until powders are dissolved. Add 1/2 of the white batter to the espresso mixture and mix until fully combined.
Spread 1/2 of remaining white batter into bottom of prepared loaf pan. Spread 1/2 of the espresso batter on top of the white batter, being careful not to mix the two. Continue with remaining 1/2 of white batter and then again with remaining 1/2 of espresso batter.
Drag wooden spoon handle or skewer through batter a couple times to create the swirling effect.
Bake at 350° F for 50-55 minutes or until toothpick in center comes out clean.
Let bread cool for about 15 minutes before slicing and serving.