Make the orange wine: Remove the orange zest in wide strips with a paring knife and place in a large sterilized container with a lid. Juice the oranges into the container. Split the vanilla bean lengthwise and scrape the seeds into the container, then add the pod. Stir in the wine, vodka and sugar. You can use the wine for poaching the shrimp right away or, ideally, cover with the lid and set aside in a cool, dark place, stirring once a week, for 2 to 4 weeks. (The wine will keep for up to 2 months.)
Prepare the shrimp: Combine 1 1/2 cups orange wine with the olive oil, thyme, red pepper flakes, a generous pinch of salt and 1/2 cup water in a large skillet. Bring to a simmer over medium-low heat, then add the shrimp, cover and poach 2 to 3 minutes. Turn the shrimp, cover and cook until pink, 2 to 3 more minutes.
Transfer the shrimp to a serving dish. Boil the poaching liquid for 10 minutes, drizzle some over the shrimp and serve the rest on the side.