I found nothing unusual about the Stay Puft Marshmallow man in Ghostbusters. Being a kid I accepted everything, no matter how strange, as making perfect sense, so I just assumed it was common knowledge that ghosts were made of marshmallows and I just hadn't been told that yet.
A childhood belief about ghosts

others believed things like this
- It was common "knowledge" where I lived that if you picked dandelions then you would wet the bed.— Holly
- When I was a child I thought that dogs can see ghosts but now I think that they can sense disaster— Steven Altamirano
- My mom always told me if I made an ugly face it would stay that way forever.Anon
- I used to think that dandilions were marshmallows on grass— Vernon D'Souza
- I used to believe that Marshmallows grew in nature. — Helen
- My sister believed the pork in pork and beans was marshmallow...and would always "fight" us for it.Anon