agree that 'baking', and even 'roasting', are far more likely terms to describe cooking in an oven than 'grilling' (though that's also possible to do).
also, 'ubi' can refer to 'sweet potato' as well as 'yam', which, for many outside of america, are a completely different vegetable.
We may be using the same English words to mean different things. We Brits grill differently from an American we grill under a grill not over one (for us a grill and grilling is what an American would call a broiler and broiling). If Indonesian use of the word grill is the same as BrE then this sentence would make sense.
I was told that "Who is grilling yams in the oven?" had a typo and that it should be "Who is grilling yam in the oven?", which is incorrect, as yam is a countable noun in English and cannot be referred to in the singular without "a" or "the".