Of course it will! You just need to think outside the cake box.
Start by understanding the limits of the grill: it can be used as a stovetop or an oven, but flame heat is fickle and can be hard to regulate. So you can't, for instance, bake a cake on a grill. But you can grill slices of pound cake, and top them with fresh berries or sliced stone fruit (which you can also grill; skewer the berries so they don't drop through the grate). Serve it with smoked whipped cream--smoke heavy cream with smoldering apple- or cherrywood chips for 10 minutes over low, indirect heat; chill completely, then whip away.
You can bake a summer fruit crisp on a covered grill (assemble the crisp in a cast-iron skillet). Friend of Cooking Light and grill god Steven Raichlen even makes creme brûlée on the grill. It's hardcore but less difficult than it sounds, and astoundingly impressive for guests.
Grilled desserts add a whole new dimension to your backyard cooking. They upend expectations and add a little razzle-dazzle (along with smoky, savory complexity) to conventional sweet treats. If you're new to the concept, start simply, with Grilled Peaches with Honey Cream.