Preheat oven to 375 degrees F.
Cover sweet potatoes with cold water in a large pot and boil until fork tender. Peel the potatoes, transfer to a bowl, and mash. Stir in butter, orange juice and pecans, and mix until incorporated.
For the orange shells, cut each orange in half and scoop out the pulp using a small knife or grapefruit spoon. Reserve the pulp for another use.
Fill each orange shell with the potato mixture and top off with the marshmallows. Bake until hot and the marshmallows are melted.