Yes! It is possible to bake on the grill!!
I just baked a snack cake from a mix in a foil pan on the grill. I bought a pizza stone and put it over the grate. I thought it would moderate the heat so the cake would not burn from being over the direct flame. Dingx3! I get a star. The cake is a chocolate chocolate chip snack cake and it is moist and the chips are creamy. I see the possibilities rambling on...cookies...corn bread...breads!!!