They can use skulls of animals, shells of tortoises in direct heat (though not in direct flame). If they were harvesting megafauna like elephants, presumably their skulls are large. It's not implausible to assume that they were capable of controlling heat to the point where they can get the amount of heat needed to boil just water/heating up water to get marrow out.

Animal stomach, bladder can be heated to boil water indirectly (fire to heat stone, stone to heat said vessel).