Line large cookie sheet with waxed paper or cooking parchment paper. In medium microwavable bowl, microwave chocolates uncovered on High about 1 minute or until chocolates can be stirred smooth. Fold in cashews and marshmallows.
Arrange pretzels on cookie sheet 2 inches apart. Spoon heaping teaspoon chocolate onto each pretzel. Let stand in cool place until set, about 15 minutes (do not refrigerate).