From The Big Green Egg® Cookbook
To make the sauce, combine the vinegar, shallots, peppercorns, and chervil in a small bowl and refrigerate.
Place the oysters on the grid. Close the lid of the EGG and grill for 3 to 4 minutes, until the shells open and release steam. Transfer to a platter. If you have an oyster that does not open, try cooking it for a minute or two longer. If it still does not open, discard as it is not edible. For each oyster, remove the top lid of the shell and separate the oyster from the bottom shell, but do not remove it.
Spoon one teaspoon of the sauce over each oyster. Serve the oysters immediately in their shells.