Spray a cast iron skillet with a non-stick spray.
Beat together brownie mix with non- dairy milk, coconut oil and vanilla, until batter is formed. Spread batter evenly in the cast iron. Cover with marshmallows.
Make a dome out of foil and cover the skillet. Make sure the dome leaves enough space for the marshmallows to expand without getting stuck to the roof.
Set the cast iron on the grill and cover with the lid.
Let cook for 10 minutes. Remove the foil and let cook with the lid on for an additional 5 minutes. Using a pot holder, remove the skillet from the grill and let cool.