How to Make It
Prepare a charcoal grill for two-zone cooking, and build a medium-high fire, or heat a gas grill to high. When the coals are glowing red and covered with a layer of fine gray ash, carefully wipe preheated grates with a lightly oiled paper towel. Using a grill brush, scrape the grill grates clean, then carefully wipe with a lightly oiled towel again.
Grill citrus, cut side down, until nicely charred, 3 to 4 minutes. Using a spatula and a decisive thrust, transfer the citrus halves to a baking sheet, and set aside to cool, about 20 minutes. Juice fruits, reserving a few whole orange slices for garnish. Combine charred citrus juices in a measuring cup (you should have about 3 cups). Add a pinch of sea salt, and stir to combine.
To make 1 drink, fill a cocktail shaker with ice, and add 1/4 cup tequila, 2 tablespoons Cointreau, 2 tablespoons charred citrus juice, and 1 tablespoon lime juice. Shake vigorously to combine. Dip the rim of a rocks glass in lime juice, and dip into chili-lime salt. Strain cocktail into prepared rocks glass filled with fresh ice, and garnish with a slice of grilled orange.