I have been using my Parents 12 year old ash vacuum to clean my grills that they no longer needed.  Apparently the company went out of business and I can no longer find bags for it.  Are there any fine dust filters or other products that would make a standard shop vacuum a good ash vac replacement?

Almost every shop vac variety vacuum has drywall/HEPPA/fine filters.  One of the problems I had was unburned  pellets hitting the inside of the bag at about 100 MPH and wearing a hole in it.  Suddenly there's no filtering and ash is blowing from the exhaust vent.

I just use a cheap HP Stinger vacuum and put two bags on. Works reasonably well.

I don't use a bag in mine.
Vac it outside and the empty in the trash

I have a home depot bucket head that is on an orange 5 gallon bucket

 I have used a 5 gal/5.5  hp Shop-Vac wet/dry vacuum for over 4 years. The fine particle/drywall dust (yellow )bags have never been an issue

rupture wise*. That may be due to an air deflector at the vacuum inlet, plus being a small vacuum, it has shorter bag. Although it is always used

outside, I prefer minimal outlet dust and use a fine particle cartridge filter on the outlet along with the bag. There are several filter options

available... This vacuum is easily carried, light in weight and has an excellent ar flow (good suction) and does a good job @ suctioning water

with the filter (s) removed ..... The hose can be connected to the exhaust for use as a blower - rather handy @ times.

* I always have a few pellets and a chunk or two of rather solid ash from the burn pot get picked up cleaning out the Memphis.

I have used a 5 gal/5.5  hp Shop-Vac wet/dry vacuum for over 4 years. The fine particle/drywall dust (yellow )bags have never been an issue rupture wise*. That may be due to an air deflector at the vacuum inlet...

Yeah, I've often thought that deflecting the solids downward would solve the problem.  Neither my 10-gallon nor my 16-gallon Shop Vacs have deflectors on the hose end.  They're probably 25 years old—maybe newer ones have it.