I added this picture to my Pinterest board the other day and have been dying to try it out. I haven't managed to yet - which is a little rubbish, just look at those things! - but it also gives me something for my taste buds to look forward to.
As I haven't tried it out, I can't say for certain, but I think I'd be tempted to do it more as a rolled croissant instead of the parcel-type one they have going on above. Think of the way that Meryl Streep makes them in It's Complicated and you'll see what I'm getting at - ie. put a marshmallow and a blob of Nutella then roll into a croissant shape.
Either way, I have some free time next week, and I plan on having a go at making these, and then most likely passing out in a marshmallow-Nutella-pastry food-induced coma of food-heavenliness.