How to get clean, dry marshmellows?
Marshmallows are full of sugar and often corn syrup, so they are going to be naturally hydrophylic.   If you coat them with powdered sugar, they will eventually absorb it as you have seen.

A better alternative, at least in terms of having them dry to the touch is corn starch (cornflower in the UK), or if they are comparable with the flavor, cocoa.

Of course, neither of these taste as good straight so they give a slight starchy or bitter impression when biting into the marshmallow.