Grate rind from oranges, reserving rind; peel, section, and coarsely chop oranges.
Peel and chop peaches.
Stir together 2 tablespoons orange rind, chopped orange, peach, jalapeño pepper, and next 4 ingredients; cover and chill.
Peel shrimp, and devein, if desired.
Combine remaining orange rind, orange juice, and next 4 ingredients in a shallow dish or large zip-top freezer bag; add shrimp.
Cover or seal; chill, turning occasionally, 30 minutes.
Remove shrimp from marinade, reserving marinade.
Pour marinade into a small saucepan.
Bring marinade to a boil; boil 1 minute.
Grill shrimp in a grill basket coated with cooking spray, covered with grill lid, over medium-high heat (350° to 400°) 5 minutes on each side, basting with reserved marinade.