Dennis, You can do that no worries. It's just like baking it in the oven, but with charcaol as your heat source. Now if you add smoke wood to it, then things change somewhat. Can what your cooking in the WSM handle, and do you want the smoke flavor in it ? I have found over the years, that cooking things in the WSM just like I would in a oven adds something nice to the dish, some great charcoal flavor, which IMO would work very well with a pan of lasagna.
I'm dying to do a pan of mac and cheese in it one of these days.
Thanks for bringing this up. Friends mom use to make a Greek lasagna on the kettle,good stuff. Gotta try this with the WSM and my wifes killer basagna.For a little different M-C check this out.