Mix sweet potatoes, milk, butter, cinnamon, salt, and pepper together in a bowl.
Beat egg yolk in a bowl until smooth; mix into sweet potato mixture. Beat egg white in a separate bowl until frothy; fold into sweet potato mixture. Transfer sweet potato mixture to a 9-inch square baking dish; top with marshmallows.
Bake in the preheated oven until heated through and marshmallows are golden brown, 20 to 30 minutes.