THIS. This is why the “mellow” pronunciation grates, because it suggests that the speaker does not know how to spell the word. It also suggests that they are aware of the existing word “mellow” and have mistakenly assumed that it is the same word forming part of a compound word.
Imagine a child who is learning phonics at school and has a reading book in which they see “marshmallow” for the first time (let’s also imagine, perhaps unrealistically, that said child has never been exposed to marshmallows and has not previously heard the word).
They would probably read it as “mAllow” with the same “a” as in “hat”, like the dictionary cited upthread. (Though I guess they might go for a rhyme with “swallow”) Do you actually correct the child and say “No, this is one that doesn’t follow the rule, you must pronounce that as a short e”?
I did enjoy the poster upthread pointing out that “hat” is pronounced “het” by very very posh people. I believe that her late Majesty QEII would probably have said “marshmellow”, but for entirely different reasons to Alison Hammond..
Finally, my DH is from the SW of England and he shouted “MALLOW!” at the TV last night. I am Scottish and enjoyed us agreeing on that one!