Chestnuts are not cooked on skewers, and they're roasted until the shells split open: a different phenomenon entirely from marshmallows, which are skewered and browned on the outside (or charred) -- i.e. toasted -- and gooey on the interior .I usually hear "toasted," although in song chestnuts are said to be "roasting on an open fire."
I pronounce it /mɑːʃmæləʊz/, with an /æ/.(Why is the word not spelled marshmellows, as it's pronounced? Oh, English...)