Prepare the grill for direct cooking over medium heat (350° to 450°F).
Brush the cooking grates clean. Grill the chorizo over direct medium heat, with the lid closed, until no longer pink in the center, 6 to 8 minutes, turning occasionally. Remove from the grill and, when cool enough to handle, cut into bite-sized pieces. Set aside.
Warm the oil in a wok or a 12-inch cast-iron skillet over direct medium heat. Add the onion and cook until it begins to soften, about 2 minutes. Add the garlic, jalapeños, poblano, and bell pepper. Cook until the chiles begin to soften, about 2 minutes, stirring occasionally. Add the zucchini, squash, cumin, coriander, chile powder, and cayenne pepper (if using). Cook for 1 minute, stirring to combine. Add the tomatoes, broth, bay leaf, tomato paste, brown sugar, salt, and pepper, crushing the tomatoes with a spoon. Cook over direct medium heat, with the lid closed, until the squash is tender but not mushy, about 20 minutes. Add the chorizo and black beans and continue to cook until heated through, about 5 minutes more. Remove from the grill, remove and discard the bay leaf, and stir in the cilantro. Serve warm.