Newton's First Law of Motion states that an object will remain at rest or in uniform motion in a straight line unless acted upon by an external force.
To make an object travel in a circular path a centripetal force is required, in this acitiviy that force is removed, so the marble continues on a straight path.
Inertia causes this straight path to continue when we remove the centripetal force.
Inertia is the resistance of any physical object to any change in its velocity. This includes changes to the object's speed, or direction of motion. An aspect of this property is the tendency of objects to keep moving in a straight line at a constant speed, when no forces act upon them.
