The places I know were they do cook stuff using volcanic heat (in Peru and the Azores islands which are part of Portugal) they do it by digging a hole in an area were the ground is hot from volcanic heat and putting a pan cooking in it (they cover it all to keep the heat).

So it’s more a local technique for cooking for free that then evolved into a couple of traditional dishes.

Never heard of trying to roast stuff on the output of a geyser.