Activate the base. In a large bowl, whisk flour, cocoa, sugar, yeast, and salt.
In a measuring cup, combine warm milk, warm water, melted butter, egg, and vanilla.
Make the dough. Pour wet ingredients into dry. Stir until a shaggy dough forms, then knead on a lightly floured surface for 6–8 minutes, until smooth and slightly tacky. Add a sprinkle of flour only if it sticks heavily.
First rise. Place in a lightly oiled bowl, cover, and let rise in a warm spot until doubled, about 60–90 minutes.
Prepare filling. Mix softened butter, brown sugar, hot cocoa mix, cinnamon, and salt into a spreadable paste.
Roll it out. Punch down dough.
Roll into a 12x16-inch (30x40 cm) rectangle. Spread filling evenly to the edges. Sprinkle with mini chocolate chips and mini marshmallows.
Shape the rolls. Starting from a long side, roll up tightly into a log.
Trim uneven ends if needed. Slice into 12 rolls using dental floss or a sharp knife.
Second rise. Arrange in a greased 9x13-inch pan, leaving slight space between rolls. Cover and let rise until puffy, 35–50 minutes.
Bake. Preheat oven to 350°F (175°C).
Bake 20–24 minutes, until set in the center and lightly springy. Do not overbake or they’ll dry out.
Make the glaze. Whisk powdered sugar, marshmallow creme, 2 tbsp milk, and a pinch of salt until smooth and pourable. Adjust milk to reach a thick drizzle.
Finish and serve. Cool rolls for 10 minutes.
Drizzle with marshmallow glaze. Melt chocolate chips with oil in the microwave in short bursts and drizzle over the top. Serve warm.