While trying to answer this question I decided I need to step through the marshalling process by hand, in the debugger view.
Unfortunately, Visual Studio seems to jump r
I'm surprised that no one has suggested that you show the external code in the debug window. If you right click on the [Native to Managed Transition] line and tick the Show External Code option, you will see exactly which methods are being called in the transition. This may give you a better idea. Here is an example:
You will then be able to double click on any (greyed out) line and a Disassembly
page will open with the code. Another example: