Marshmallows tend to hold a lot of moisture inside of them and that moisture is released when they're heated. You may notice your marshmallows ballooning up in the oven and then disappearing. This is the sugars evaporating with the moisture from inside the marshamallow. To avoid this, I like to use stale marshmallows or leave them sitting on the counter overnight so that some of the moisture escapes. If those options don't thrill you, then I would recommend buying dehydrated marshmallows so they'll stay put when baked.