Make the pudding according to package instructions. Stir in 3 tablespoons of the whiskey.
Whip the heavy cream to soft peaks, adding the powdered sugar a little at a time. Stir in the vanilla. Whisk the mascarpone to make it light and fluffy. Fold it into the whipped cream. Fold in the remaining 1 tablespoon whiskey.
In a trifle dish or punch bowl, place a single layer of banana bread cubes and zucchini bread cubes into the bottom of the bowl. Drizzle over some of the whiskey to moisten the bread. Spread half the pie squares over the top. Evenly spread half the pudding on top, and then a layer of half the whipped cream. Top with half the caramel sauce. Repeat with the remaining ingredients, topping the whole thing with the chopped pecans. Cover and refrigerate for at least an hour before serving.