Melt the chocolate, heavy cream, and mascarpone cheese in the top of a double boiler over hot water. As the mixture starts to melt together, stir gently with a rubber spatula, being careful not to inject any excess air into the mixture.
Remove mixture from the heat just before the chocolate pieces are completely melted; continue to stir until all chocolate is melted. Cool to room temperature.
When the ganache is tepid, stir in the rum and coffee liqueur.
Pour the mixture into a shallow, wide airtight container and refrigerate until firm.
Using a vegetable peeler, shave the milk chocolate into small curls. Place in a small bowl and keep chilled.
When the ganache is firm enough to shape, scoop bite-size spoonfuls and form into round balls. Coat each truffle in chocolate curls and place in mini cups (miny paper muffin liners work well).
Keep chilled; bring to room temperature before serving.