Preheat a grill pan over high heat. Toss shrimp with a drizzle of oil and season with crushed pepper, salt and black pepper. Mix marmalade and barbecue sauce.
Grill shrimp 2 minutes on the first side, turn and baste liberally with sauce. Cook a minute or 2 longer, turn and baste again. Cook 1 minute more then transfer to a serving dish.
To eat, wrap shrimp in lettuce with cucumber.