In a bowl, mix shrimp, vinegar, tequila, liqueur, oil, jalapeño, garlic, green onions, cumin, and cayenne. Cover and chill 30 minutes or up to 1 day, mixing occasionally.
Meanwhile, cut peel and white membrane from orange. Working over a bowl to catch juice, cut between fruit and inner membranes to release segments into bowl. Squeeze juice from membranes into bowl; discard membranes and peel.
Pit, peel, and slice avocados; add to oranges and mix gently.
Drain shrimp, reserving marinade. Thread shrimp onto flat metal skewers. Lay skewered shrimp on a barbecue grill over very hot coals or very high heat on a gas grill (you can hold your hand at grill level only 1 to 2 seconds); close lid on gas grill. Cook shrimp, turning once and brushing frequently with marinade for the first 2 to 3 minutes, until bright pink and opaque but still moist-looking in center of thickest part (cut to test), 4 to 5 minutes total.
Mound salad mix equally on dinner plates. Push hot shrimp from skewers. Arrange shrimp, orange segments, and avocados equally on salad mix; moisten equally with chili-orange dressing, and add salt to taste.
Made shrimp exactly as written. We liked the shrimp but did not make the sauce as we are not big on sauce especially when it sounds like this one. Served over plain white rice with Merlot wine. Good solid recipe that we will make again.
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