In a large heat proof bowl set over a small sauce pan of simmering water, melt the dark and milk chocolate, stirring frequently until smooth. Remove from heat and stir with a spatula for a few minutes to release the heat.
Arrange 40 small paper liners (about 1 inch wide) on a baking sheet. Use a small spoon or scoop to fill each paper liner with chocolate about ⅓ full. Use a small brush to bring the chocolate up the sides of the liners, almost to the top. Let set for about 1 hour.
In the bowl of a stand mixer, sprinkle the gelatin over the ⅓ cup cup of cold water. Meanwhile, heat the remaining ¼ cup of water and sugar in a small saucepan over medium heat. Stir to dissolve the sugar, then stop stirring once it comes to a boil. Add a candy thermometer and cook the sugar until it reaches 235°F.
Add the sugar to the gelatin mixture and whisk on low for 30 seconds. Increase speed to medium high and beat for 5 minutes. Add the vanilla and salt and mix on medium high speed until light and thickened, just before soft peaks form, about 2 more minutes.
Immediately pour the marshmallow mixture into a clean pastry bag fitted with a small plain tip. Pipe into the chocolate shells, to about ¾ full.
If the remaining chocolate has hardened, return it to the double boiled and stir until melted and smooth. Pour a small spoonful of chocolate over the tops of the marshmallow in the cups and let set for 1 hour until hardened.
The chocolate marshmallow cups will keep in an airtight container in a cool place for 1 week.
Note: For better support while you make the candies, use two paper liners for each one.