Transfer the potatoes to grill, placing them in the middle of the grill, Cook until a paring knife glides easily through the flesh, about 20 minutes. Remove from the grill, slice the potatoes in half lengthwise and let cool.
While the potatoes are on the grill, cook the bacon in a 12-inch skillet over medium heat until brown and crisp, about 8 minutes. Transfer the bacon to a paper-towel-lined plate and set aside.
When the potatoes are cool enough to handle, cut in half and use a spoon to scoop out the flesh, leaving and 1/4-inch layer of potato on the inside of each skin. Brush the potatoes inside and out with melted butter and season with salt and pepper. Put the potatoes back to the middle of the grill, cover, and cook until they become golden brown and crisp, about 7 minutes.
Sprinkle potato skins evenly with cheddar cheese and bacon, and onions. Continue cooking until the cheese melts-approximately 7 minutes. Remove from the grill, allow to cool for 5 minutes, then add sour cream and serve.