Even if the outdoor grill was easily accessible, using that indoors doesn't sound like a smart idea, the fumes have nowhere to go and it's a fire hazard.
I have a furnace and —though not mentioned in the story— that's hopefully (and likely, given where I live) a fuel combustion furnace which doesn't require electricity to operate. So I have a source of heat.
Sealing off a room would provide some extra insulation but I don't see how that can be very effective to conserve heat.
So, still under the assumption that my furnace is operational, I would move the food from the fridge and freezer outdoors in the snow.