I found this recipe... Never tried it myself... I've never had Cobia...
I believe it is a rather firm fleshed fish so it should be easy to grill...

[color:"blue"]CARIBBEAN COBIA[/color]

INGREDIENTS:
2 Cobia (or other fish) steaks or filets

For the sweet potato bed:
1 large sweet potato
1 tablespoon lemon juice
2 tablespoons orange juice
1 tablespoon butter
1 tablespoon brown sugar
1 teaspoon salt
1 teaspoon grated fresh ginger

For sweet/hot sauce:
2 tablespoons sugar
1/2 cup water
1/3 cup white wine
1/3 cup diced onion
1/3 cup diced bell pepper
1/3 cup diced carrot
2 tablespoons butter
1 tablespoon habenero hot sauce (or to taste)
1 teaspoon dried thyme

DIRECTIONS:
Cook sweet potatoes your favorite way until tender (bake, boil, nuke or steam). Mash with the remaining sweet potato bed ingredients.

While potatoes are cooking, combine first 6 ingredients for the sauce. Reduce until the sauce is about 1/3 its original volume, then add hot sauce, thyme and butter and simmer for 2 minutes.

Salt and pepper fish and grill until just done.

To serve, spread the sweet potatoes on the plate, place grilled fish on top, then spoon on a generous amount of the sweet/hot sauce.