In a large bowl, combine the flour, sugar, and salt. Add the chilled butter and mix until the mixture resembles coarse crumbs. Gradually add cold water, mixing until the dough comes together.
Divide the dough into two equal portions, shape each into a disk, wrap in plastic wrap, and refrigerate for at least 30 minutes.
Preheat the oven to 375°F (190°C) and line a baking sheet with parchment paper.
On a floured surface, roll out one disk of dough to about 1/8 inch thick. Cut out circles using a 4-inch round cutter. Repeat with the second disk.
Place half of the circles on the prepared baking sheet. On each circle, layer mini marshmallows, chocolate chips, and graham cracker crumbs, leaving a small border.
Top each filled circle with another dough circle. Press the edges to seal and crimp with a fork. Brush the tops with the beaten egg.
Bake for 20-25 minutes or until golden brown. Allow to cool slightly before serving.