In a medium saucepan, combine sugar and water. Bring the mixture to a boil and simmer over medium heat until sugar is dissolved about 5 to 8 minutes.
While the sugar water is boiling, lay the marshmallows on a parchment-lined baking sheet in a single layer and place under the broiler until toasted. Be sure to keep an eye on the marshmallows so that they do not burn.
Reduce the heat to low and add the toasted marshmallows to the saucepan. Stir continuously until the marshmallows are completely dissolved about 5 minutes.
Remove from the stove and allow the syrup to cool without stirring. Then strain the coffee syrup through a fine-mesh strainer and whisk in the vanilla extract.
Allow to cool completely and store in an airtight container in the refrigerator for up to a month.