I doubt it'd be tasty, But you can puree roasted chestnuts and mix them with sugar and cocoa powder, roll them into cherry-sized balls and cover them with chocolate. Very yummy but you have to eat them at once - they keep only for 2 days in the fridge (1 day outside of it).
Frankly, I had all forgotten about the foreign habit of putting marshmallows into cocoa. When I was a kid we didn't have any marshmallows and when I tried them as an adult I found they were like sweetened rubber - not really my thing. Also, it's not a custom here to put anything into a hot beverage but sugar, milk or cream and perhaps a sprinkle of chocolate or cinnamon. Hence the concept of having sweets floating in a cup of hot chocolate is a little difficult to grasp.
Here, you usually get your cocoa served with a shortbread or chocolate cookie.
I'd be very well pleased with shortbread cookies or chocolate cookies with my cocoa!