I've found a vegan doughnuts place. That is their whole business, very specific, vegan doughnuts and that is it. They don't sell anything else.
I don't think marshmallows are vegan in general, but since it is such a specific business model I bought it because I believe it when they say it is vegan marshmallow and vegan chocolate.
This doughnut costed me €2 (two euros) which I think is a lot. I wouldn't eat it on a regular basis and definitely wouldn't it daily, but it was delicious. Sweet and soft.