I admit, my first reaction is that it sounds really weird...but then I think about it and realize I happen to like weird things, and if I were one of your guests, I would definitely want to try it! Just because I've never thought to do such a thing doesn't mean I wouldn't want to try it...and the more I think about it, the more I think I'm actually going to try to make something like that myself. Chocolate/other sweet stuff with bacon. That went in my mind from "no way" to "developing a craving" in about two minutes. Maybe some of your guests would have the same reaction.
I assume that you're planning on using "standard" size marshmallows, and I wonder if, especially for these, you might try cutting the marshmallows in half, or maybe even using the smaller ones, though that seems really awkward. I'm just thinking that people mght want to try them but might want a smaller bite for the first try, and you'd have less potential waste.