Marshmallows are basically just sugar that has been whipped to give it a spongy consistency. It is then usually coated with corn starch to help it hold its shape after it had been molded. Since neither sugar, nor corn starch are Paleo, we can’t include marshmallows.
Sugar + Sugar
Both sugar and corn starch are manmade inventions of agriculture. They are both forms of glucose that cause massive spikes in blood sugar and offer absolutely no nutritional value. Sugar should be avoided whenever possible because of the spikes in blood sugar it causes. A spike leads to a crash, leaving you feeling tired, cranky, and craving more sugar. Because of this cycle, sugar is extremely addictive, making it very difficult to get off the blood sugar roller coaster.
Mark Sisson has even more reasons to avoid sugar.