Peel the oranges as if you're going to cut them into supremes. (Here's how.) Then cut them into very thin slices and cut those into a super fine dice, and add them to a medium-sized mixing bowl.
Now add the onion, cucumber and jalapeño pepper.
Mix to blend and season to taste with salt and freshly ground black pepper. Set aside.
In a small bowl, mix all of the spices and the salt together. Once they're blended evenly, pour the mixture on a large plate. Gently shake the plate to evenly spread the spices out.
Gently press each shrimp into the spice mixture, coating both sides evenly.
Place them on a clean plate as you go.
Coat the bottom of a large sauté pan with the oil. Once the pan is very hot, add the shrimp, with ample space between them. Sauté the shrimp just until they're cooked through, about a minute per side.
Arrange about 5 shrimp per serving plate, and then spoon the salsa over and around them.