In a medium saucepan, combine whole milk, unsweetened cocoa powder, and granulated sugar over medium heat. Whisk continuously until smooth and heated through, about 5 minutes, then cool and refrigerate for at least 2 hours.

In a mixing bowl, whip heavy whipping cream and vanilla extract until soft peaks form (about 2-3 minutes).

Combine chilled chocolate mixture with whipped cream, gently folding together until uniform.

Fold in half of the chopped nuts and mini marshmallows until evenly distributed.

Transfer the mixture to a loaf pan, smooth the top, sprinkle remaining nuts and marshmallows, and freeze for at least 3 hours until firm.