i've tried grilling just about everything i can get my grubby fingers on, and i've tried a few lettuces. like iron chef says, watch out for a too hot grill. i tried it over hot charcoals, and just burnt the crap out of everything.
but i tried again, this time with small romaine heads, carefully opened and spritzed with an olive oily viniagrette, then tied up with twine and cooked them over low temp coals. they sort of steamed, while picking up a nice grill/smoke flavor.
ive also tried large swiss chard leaves, which the leafy part burned up and disintegrated, but the thicker stems came out pretty good. not very nice looking, but were tasty chopped in a salad.