To answer your marshmallow question consider doing the same experiment with an ice cube. In this example (imagine you can burn water) the ice cube must melt before the water can boil. The same situation will occur if you are trying to burn a frozen marshmallow under low heat. However, if you were to use an extremely hot heat source (e.g. 2000 degF) you could actually burn some of the marshmallow at the same time that you are melting it. This is possible because burning something is basically just a simple chemical reaction. Any reaction has the capability of occurring at any point in time (spontaneous combustion) but the odds are vanishingly small at room temperature. However, if you increase the temperature of the system, you increase the probability of it combusting before it has the chance to "melt". Hope this helps!