Place a rack in the center of the oven and preheat the oven to 350 degrees F.
Prepare a grill for medium heat. Grill the lemon, lime and orange cut-sides down until charred and soft, about 5 minutes. Cool slightly, then zest some of the fruit to get 1 tablespoon of zest; set aside. Juice all of the citrus (you should have 1/2 cup citrus juice).
Whisk the egg yolks in a medium bowl until smooth. Add the sweetened condensed milk and the citrus juice. Stir until smooth, then pour into the prepared crust. Bake until the center of the pie is just set, 20 to 25 minutes. Let cool for 1 hour, then refrigerate for another hour until chilled. Chill a large bowl.
Put the heavy cream in the chilled bowl and add the confectioners' sugar and the grilled zest. Whip until soft peaks form. Top the cooled pie with the whipped cream and serve immediately or chill again briefly before serving.