I'm nor sure how orange roughy compares to white fish, but I have good luck cooking orange roughy on aluminum foil. It's just that flipping it isn't the easiest. I need a fillet sized spatula.
I use my cast-iron fry pan on the grill. It protects the delicate flesh and skin from the intense heat radiation while allowing the fish to pick up the smoke from the burning coals and wood. It also makes turning the fish easier as well. The cast iron cleans up easily (very well seasoned).
Seeeeeya; Goodweed of the North
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