Lightly spray the grill rack with the cooking spray. If using a grill pan, heat the pan on medium heat and when hot, spray it lightly with the cooking spray. Place the orange slices on the grill or grill pan. Cook, turning the slices once, until both sides have grill marks, about 2 minutes per side. Remove the orange from the heat and chop 2 of the slices. Set aside.
Combine the bourbon, vermouth, Campari and the chopped grilled orange slices in a cocktail shaker with ice and shake well. Fill rocks glasses half way with ice and stir until chilled, about 30 seconds. Strain cocktail mixture into glasses and garnish each with a grilled orange slice.