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Put a cooling rack or wire grid on a rimmed baking sheet. Wash the scallops under cold running water and thoroughly pat dry on paper towels. Remove any translucent tags of muscle tissue you find on the sides of the scallops.
Season the scallops with salt and pepper and arrange them on the rack on the baking sheet.
When ready to cook, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes).
Place the baking sheet with the scallops on the grill grate and smoke for 20 minutes. Remove the baking sheet with the scallops from the grill and set aside.
Increase the temperature of the Traeger to 400F and preheat, lid closed, for 10-15 minutes. Return the baking sheet with the scallops to the grill grate and roast the scallops until just opaque and tender, 10 to 15 minutes. The time will depend on how thick the scallops are. Do not overcook.
In the meantime, melt the butter in a small saucepan over medium-low heat. Add the garlic, orange zest, orange juice, Worcestershire sauce, and parsley. Simmer for 5 minutes. Keep warm.
Serve the scallops hot with the warm citrus-butter sauce.