You could think about stuffing them, and sealing them in a folded "envelope" of buttered parchment paper ("en papillote" in French cooking - look-up some ideas on the Web).
This steams them - You'd probably want relatively high heat, but I don't know if any smokiness would permeate the paper.
Still, it looks impressive when you give a little sealed package to your guests, and they open them up, letting the steam and smells escape. Read a recipe a long time ago for Pompano or Sole stuffed with a crab-based filling, done this way - made my mouth water!