Chill a mixing bowl and wire whisk in the freezer for 10 minutes before beginning. Beat heavy cream in the chilled bowl until it begins to foam and thicken up. Add the powdered sugar and continue to beat until the cream barely mounds. Do not overwhip.
Cut the marshmallow in half and microwave for 10 seconds until soft and almost melted. Now, whip it into the cream to form soft peaks. Aside from adding a hint of vanilla flavor, the gelatin in the marshmallow will stabilize the cream. Refrigerate, covered, until ready to use.