Coat an outdoor grill or stovetop grill pan with cooking spray and preheat to medium-high.
Arrange orange slices on hot grill and grill 2 minutes per side, until golden brown.
In a medium bowl, combine fudge sauce and raspberry preserves. Cover and microwave on HIGH for 30 seconds, until warm.
Spoon frozen yogurt over orange slices and drizzle raspberry-fudge sauce over top.