Cut rolls in half; flatten dough halves slightly. Wrap each piece of dough around a peanut butter cup half, pinching to seal ends. Roll filled dough into balls.
Place melted butter in a shallow dish. Roll dough balls in butter; place balls in a single layer in a well-greased 9x9x2-inch baking pan. Sprinkle with cocoa powder. Cover and let rise in a warm place for 30 minutes.
Prepare grill for indirect grilling, except omit drip pan. Test for medium heat above the center of the grill. Place baking pan on the grill rack in the center of the grill (not over heat). Cover grill and grill for 25 to 30 minutes or until tops of rolls are golden and center feels firm.
Remove from grill. Immediately sprinkle with coarsely chopped peanut butter cups and peanuts. Let stand for 20 to 30 minutes before serving. Makes 8 servings.