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
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.