I've done this a few times actually! What I did was make my marshmallow filling, spread it thin on a silpat (increase the surface area of the marshmallow) and then torch the bugger until I'm satisfied. Mix and homogenize and you should have roasty mallow flavor with a small amount of texture from the roasted bits.
This can look like:
1. While the filling is still warm, spread thin on silpat
2. Roast/Torch entire surface
3. Mix the roasted bits into the marshmallow and taste
3a. If it does not taste toasted enough, repeat steps 1-3.
3b. If it tastes how you want, bag it and pipe when at temp