Wash mushrooms; pat dry. Sauté mushrooms in butter in a large skillet 5 minutes; remove from heat, and let cool.
Cut bacon slices in half; cook until transparent but not crisp. Drain and set aside.
Alternate shrimp, oysters, mushrooms, and bacon on wooden skewers. Set aside.
Combine flour, sugar, salt, beaten egg, 1 teaspoon oil, and milk in a large mixing bowl; mix well. Beat egg whites (at room temperature) in a small bowl until foamy. Fold into batter. Dip brochettes into batter.
Fry in deep hot oil (375°) until golden brown. Drain well on paper towels. Serve with orange marmalade.