Or, prepare the veggies in a fashion which will benefit from grilling. Potatoes, for instance, don't really take on much different flavor whether baked in the oven or on the grill. Potatoes baked, stuffed and then cooked on the grill will absorb smoke flavors - assuming there is smoke. Stuffed sweet peppers are an excellent grill dish. Garlic - roasted is outstanding alone and adds a unique flavor to other dishs.
Spaghetti squash is a fantastic platform for all sorts of flavoring and stuffing.
Tomatoes - stuffed and grilled or grilled and mixed are fine. Florence fennel is excellent grilled. Sorry, I've made myself hungry and have to stop to crank up the grill.