Slice the top and bottom of each fruit with a paring knife. Set one of the flat sides on your work surface. From top to bottom, following the curve of the fruit, cut away peel and white pith. Trim off any remaining pith. Holding fruit over a bowl, cut along both sides of each segment, staying close to the membrane, to release. Cut each segment into 5 pieces; set aside.
Preheat a grill pan over medium-high heat. Whisk together citrus juice, wine, and olive oil in a small bowl; and parsley and stir to combine. Spoon citrus mixture over scallops and place on grill; cook 3 to 5 minutes.
Remove scallops from grill, spoon fruit mixture over each scallop and serve.