1. Heat a grill or grill pan to medium-high heat; coat lightly with cooking spray. Quickly grill the citrus slices in batches, just until browned (about 1 minute per side); transfer to a cutting board, and finely chop. Transfer citrus to a medium bowl with any collected juices. Add the oregano, olive oil, salt, and pepper; mash with the back of a spoon to combine. Divide dressing in half.
2. Arrange lettuce on a serving platter; lightly coat the grill again. Grill the shrimp, in batches, until opaque, brushing with half of the lemon-lime dressing (about 2 minutes per side); transfer to the platter. Warm the tortillas on the grill until slightly charred (about 1 minute per side), brushing lightly with some of the remaining dressing; transfer to the platter.
3. Stir diced tomato into remaining lemon-lime dressing. Arrange avocado on the platter. Crumble the cheese over the salad; drizzle with remaining dressing.