Set grill to medium. With serrated knife, halve the doughnuts horizontally and lightly coat all sides with cooking spray. Place on grill and grill 1–2 min. per side, until grill marks appear. Transfer to cutting board and cool.
Place scoops of ice cream on half of doughnuts and top with remaining doughnut halves to form sandwiches, pressing down gently. Press sprinkles, nuts, and/or coconut into sides to coat, if using. Place in freezer until ready to serve.
Substitute different flavors of ice cream, like cookies and cream, or pistachio for a twist!