Place marshmallows in a single layer on a parchment lined sheet in the freezer and freeze until frozen solid.

Line a large baking sheet with parchment paper and set aside.

In a medium bowl, whisk together the flour, cocoa powder, baking soda, salt, cayenne pepper, and ground cinnamon. Set aside.

In a large bowl, using a hand mixer on medium speed, mix together the butter and sugar until creamy.

Add the egg and vanilla to the butter mixture and mix for 2 minutes on medium speed, until fluffy.

Add the flour mixture and mix on low speed until dry ingredients are incorporated.

Using a large cookie scoop (about 2 tablespoons sized), scoop dough into mounds and place on baking sheet. Refrigerate for 2 hours.

When ready to bake, preheat oven to 350 degrees F.

add ¼ cup of granulated sugar and ¼ teaspoon ground cinnamon to a small bowl.

Remove cookie dough from fridge and flatten into a circle. Place 1 frozen marshmallow in the center of the cookie and wrap the dough around the marshmallow to enclose the marshmallow in the dough.

Roll dough ball in the cinnamon sugar mixture to coat.

Place cookies on baking sheet 3 inches apart. Bake for 12 minutes, turning the cookie sheet halfway through backing, until cookies have puffed and bits of marshmallow show through the cookie.

Remove cookies from the oven and place sheet on a cooling rack; cool for 5 minutes.

Transfer cookies from baking sheet to cooling rack and cool completely.