Combine flour, cocoa powder, baking soda, salt, and nutmeg in a large bowl.
Beat butter, 1/2 cup granulated sugar, and brown sugar on medium speed in the bowl of a stand mixer fitted with the paddle attachment 2 to 3 minutes or until light and fluffy.
Beat in egg and egg yolk, beating well after each addition. Beat in vanilla. Cover the bowl with plastic wrap and chill at least 30 minutes or overnight.
Preheat oven to 325°F. Line 2 baking sheets with parchment paper. Add 1/4 cup granulated sugar to a shallow bowl.
Portion out 1 oz of dough and press it into a disc. Press 4 to 5 frozen marshmallows into the dough and cover with another 1 oz of dough, creasing the sides to enclose the marshmallows. Roll into a ball, roll in granulated sugar, and place about 2 inches apart on prepared baking sheets.
Repeat with remaining dough and marshmallows.
Use the bottom of a small glass to lightly press each cookie dough ball down (just a little bit, they need some help spreading!).
Bake 10 to 13 minutes or until the centers of the cookies are set. Cool completely or enjoy while warm.