Position a rack in the middle of the oven and preheat to 400 degrees. Place sweet potatoes on a baking sheet and bake until tender, about 1 ½ hours.
Remove from the oven and cool. Lower the oven temperature to 325°F.
While the potatoes are baking, add the pineapple, orange zest, and the flesh of two oranges to a food processor or blender. Pulse until smooth.
Peel the baked potatoes, discarding the skin. Place them into the food processor or blender with the orange mixture, as well as adding in the brown sugar, butter, salt, pepper, nutmeg, and cinnamon. Puree into smooth.
Divide the mixture evenly amongst orange halves. Bake for 20 minutes, then take out of the oven and set to broil at 350°F.
Place 3 marshmallow halves on top of each orange cup and broil for 30 seconds, or until nicely toasted.