In a small pan, heat milk over medium heat until steaming. Do not boil.
Whisk in cocoa, honey, vanilla, 1/2 tsp cinnamon, nutmeg, and cayenne pepper. Whisk until combined. Remove from heat and pour into mug.
In a small bag, toss marshmallows with remaining 1/2 tsp of cinnamon. Shake to coat well. Top hot chocolate with the cinnamon marshmallows.