It can be a powder from the actual root of the mallow plant. It is used rarely in modern cooking, though it was certainly used a great deal more in cooking as a thickener up till the advent of gelatin which replaced it as a less expensive thickening option. Now it is largely used in herbal remedies, especially as a binding agent in pills.
Or, Marshmallow Powder can be a commercial product (which has no real Marshmallow in it) used by ready-made food manufacturers. It is made from essentially the same ingredients as marshmallows are. It is used to add body and to thicken items such as meringues, etc.