Cooking protein marinated in yogurt
You cannot "cook off the calories". Also, caramelized yogurt is still yogurt. 

Some of the lactose in your yogurt surely got converted to something else, but 1) there is no way to estimate how much got converted and how much remained, and 2) it is impossible to say what the result was (it could have been another sugar). So a conservative estimation is that all of the lactose that went in will count towards the sugar allowance in your diet. 

Also, baked or caramelized yogurt is still dairy. I can't know why you were placed on a no-dairy diet, but a yogurt marinade is still a breach of the diet rules. Especially if you are dealing with food intolerances, where tiny amounts of a substance can already trigger symptoms. 

In summary: yogurt marinades are indeed tasty, but not compatible with the diet you describe. Caramelization does not change that.