Here in Mexico (Spanish) is known as Bombón. A quick Google search says that apparently comes from the repetition of the french word ‘bon’
It is worth to mention that, despite most of the countries in Latin America speak Spanish, things have different names in different countries, even if it’s the same language.
According to Wikipedia, marshmallows are also known as
nube, esponjita, malvavisco, fringuel, jamón o suncho