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In a large bowl (or zip top bag) add chicken wings, cola, dark soy sauce, light soy sauce, peels of the lemon and the orange, juice of the lemon and the orange, garlic, white pepper, and salt. Toss to combine, then marinate in the fridge for at least 4 hours and up to overnight.
Pull wings out of the fridge about 30 minutes before grilling. Preheat the grill to medium-high heat, and create one zone of indirect heat and another zone of high heat.
Arrange wings onto the indirect heat zone of the grill and cook with the lid closed for 7-10 minutes, until almost cooked through.
Meanwhile, whisk together the white wine and honey.
Flip wings and move them over to the direct heat zone. Brush each wing with the wine and honey mixture and cook for 1-2 minutes on each side, brushing with more wine and honey as you flip. Grill until wings look caramelized and are cooked through.
Arrange wings on a serving platter, and sprinkle the sesame seeds and scallions all over before serving.