Rinse the hens under cold water, then pat dry with paper towels.
Add the oil, cilantro, garlic, lime juice, salt, paprika, oregano, black pepper, and cumin to the bowl of a food processor. Pulse until roughly chopped to prepare the marinade.
Apply the marinade all over each cornish hen and in each cavity.
Tuck the wings underneath, then use butcher’s twine to tie the legs together. Tucking the wings prevent the tips from burning while tying the legs promotes even cooking and makes the hens easier to remove from the grill. There’s no need to truss the hens.
Place onto a rimmed baking sheet, preferably lined with a wire rack, and marinate for 1 hour, then leave the hens to sit at room temperature for 15 minutes.
Meanwhile, prepare your Z-Grill with branded cherry or apple pellets or other wood pellet grill for indirect cooking at 225 degrees Fahrenheit. Lightly oil the grates once hot to prevent sticking.
Place the hens on the grill breast side up, close the lid, and smoke for 50 minutes or until the internal temperature reaches 160 degrees Fahrenheit. You want to insert the probe of your thermometer into the thickest part of the breast and thigh. Increase the grill’s temperature to 300 degrees Fahrenheit, close the lid, and cook until the internal temperature reaches 165 degrees Fahrenheit.
Remove the hens from the grill and rest for 10 minutes.
Finish with a squeeze of lime juice, if desired, and serve.