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- Zest the lemon and add to butter in a small saucepan.
- Melt the butter and stir in the lemon juice (this may be done on the corner of the charcoal grill prior to grilling the shrimp).
- Peel and devein the shrimp -- leaving the tails on.
- Cut the jalapenos into ¾ inch slices, crossways.
- Put the tail of the shrimp on a skewer, add a piece of chile and an orange segment, then skewer through the upper end of the shrimp so that it forms a crescent around the chile and orange.
- Cover and refrigerate until ready to cook.
- Brush the shrimp with lemon butter and cook on a medium charcoal or gas grill with hickory chips, turning once and basting with butter as needed.
- If grilling on a stove, add liquid smoke to the lemon butter.