Preheat oven to 350 degrees F.
Bake the potatoes until tender, then peel and mash them. Stir in the brown sugar, orange juice, zest and nutmeg. In a separate bowl, toss the coconut with the sugar and cinnamon. Press mashed potatoes around each marshmallow, creating a 2 to 3-inch diameter ball. Roll the balls in the coconut mixture. Bake for 15 to 20 minutes. Watch carefully for the last few minutes of cooking; the expanding marshmallows can cause the potato balls to burst open.