Slice the oranges in half; hollow out the orange segments with a spoon. If needed, slice a small piece off the bottoms of the oranges, so they sit up level.

Place one cinnamon roll in each orange half. Place on a baking sheet or tray, tent loosely with a piece of foil, lightly sprayed with non-stick cooking spray.

Cook on a medium high grill for 15-20 minutes. Remove from heat and spread with orange icing.