Prepare the grill for direct and indirect cooking over medium heat (350° to 450°F).
Trim the leafy tops from the beets leaving about ½ inch attached; reserve the tops. Leave the root ends intact. Scrub the beets under cold water. Lightly brush with oil. Brush the cooking grates clean. Grill the beets over indirect medium heat, with the lid closed, until tender when pierced with the tip of a knife, 1 to 1½ hours depending on their size, turning once. Remove from the grill and let stand until cool enough to handle. Trim the ends from the beets and discard. Rub off the skins. Cut the beets into ¼- to ½-inch slices and place the red beets and the golden beets in separate bowls (to keep the red beets from dying the golden beets red).
Wash and dry the orange. With a zester, scrape off 1 tablespoon of zest. Alternatively, use a vegetable peeler to remove enough strips of zest to total 1 tablespoon when finely chopped. Reserve the zest. Cut the remaining skin and white pith from the orange and, working over a medium bowl, separate the orange into sections, letting the sections and any juice fall into the bowl. Add the reserved orange zest and the remaining dressing ingredients to the orange sections. Gently stir to combine.
Lightly brush the onion slices with some of the dressing and grill over direct medium heat, with the lid closed as much as possible, until tender, 10 to 12 minutes, turning once or twice. Remove from the grill and allow to cool slightly, then separate into rings.
Rinse the reserved leafy tops of the beets under cold water. Select the smallest, most tender leaves and place with the romaine lettuce in a large bowl. Add half of the dressing and toss. Divide the lettuce mixture among four salad plates. Top with the beets and the onion rings and drizzle on the remaining dressing. Serve warm or at room temperature.
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