In a medium-sized saucepan over medium heat, combine coconut milk, pumpkin puree, and pumpkin pie spice. Whisk together and heat until sufficiently warm.
Spread mini marshmallows out on a foil-lined baking sheet and place under broiler for about 2 minutes, until they are nice and toasted.
Rim glasses or mason jars with shredded coconut. You can brush a little simple syrup or just a sugar/water mixture on glasses to get coconut to stick.
Pour pumpkin coconut milk mixture into the glass and stir in 1-1.5 oz. of rum into each glass (depending on how strong you want them). Top each drink with toasted marshmallows.