Line two half sheet pans with parchment that hangs over both short ends, then lightly butter the parchment. Have extra sheets of parchment and a small rolling pin ready.
Put half of the cereal for the cinnamon layer in a zip top bag and give it a quick pass with the rolling pin to break it into smaller pieces, then combine it with the rest of the cinnamon layer cereal.
In one pot, melt the butter for the vanilla layer over low heat. In a second pot, melt the butter for the cinnamon layer with the brown sugar, salt, and nutmeg over low heat, then whisk in the cinnamon and cocoa until completely smooth.
Add the marshmallows to both pots, along with the water if you are using natural marshmallows, and stir over low heat until just melted and smooth. Take both pots off the heat.
Stir the vanilla extract into the vanilla pot if using, then fold in the vanilla layer cereal until evenly coated.
Spread the vanilla mixture across the first lined pan, lay a sheet of parchment on top, and roll it out with the rolling pin into an even layer about ⅜ inch thick. Scoop any extra into a small buttered pan rather than building the layer up.
Right away, fold the cinnamon layer cereal into the cinnamon pot, spread it on the second lined pan, and roll it out under parchment into a thinner layer, about 3/16 inch thick, or about half as thick as the vanilla layer.
Lift the cinnamon layer by its parchment, flip it onto the vanilla layer, and peel the parchment away. Or line up the edge with a ½ inch gap and slide it on top of the vanilla layer. Position it so it stops about ¾ inch short of the short edge closest to you and leaves a ½ inch strip of bare vanilla along the far short edge, then press gently so the layers stick together. Butter your fingers and roll right away, while the layers are still warm.
Starting at the short edge closest to you, use the parchment to lift the bare vanilla lip, curl it firmly over itself, and roll the sheet away from you. After every turn, tighten the parchment around the log with your fingers and squeeze in from both sides, firmly enough to close any gaps but not so hard that you flatten the layers. Press any splits back together with your fingers and finish with the seam on the bottom.
Wrap the log tightly in plastic wrap and let it set until firm, about 30 minutes to one hour.
Trim about ¼-½ inch from each end, then slice the log into 12 rolls, each about an inch thick, with a serrated knife, using a gentle sawing motion and giving the log a quarter turn between cuts. Set the rolls swirl side up.
Melt the white chocolate chips with the coconut oil, spoon the mixture into a piping bag, and drizzle it over the tops of the rolls. Let the drizzle set before serving.