Prepare a grill for indirect heat. If using a charcoal grill, build the hot coals on one side only. If using a gas grill, heat one side only to medium-high heat.
For the dough: Add the butter and cream cheese to the bowl of a stand mixer fitted with the paddle attachment. Cream together until smooth and combined, 3 to 5 minutes. Mix in the flour until just combined. Chill the dough in the refrigerator for 2 hours.
When the dough is cold and firm, portion it into 2 dozen balls. Add each ball to a tassie pan or a mini muffin pan and, using a tamper dipped in flour, press the dough so that it forms a cup. Refrigerate the dough cups for 30 minutes.
To make the filling, cream the egg, brown sugar, butter, vanilla, allspice, nutmeg and salt in a large bowl with an electric mixer until smooth, 2 to 3 minutes. Transfer the filling to a liquid measuring cup for easy pouring.
Sprinkle the pecans amongst the refrigerated dough cups. Pour the filling evenly over the pecans.
Place over indirect heat and bake at 350 degrees F until golden brown and bubbly, 20 to 25 minutes. Cool completely before lightly dusting with confectioners' sugar. Enjoy!
(Alternatively, you can bake the pecan tassies in a 350 degrees F oven for 20 to 25 minutes.)