Make the shortcakes: Line a rimmed baking sheet with parchment paper. Pulse the flour, granulated sugar, baking powder, salt, lemon zest and lime zest in a food processor until combined. Add the butter and pulse until it is in pea-size pieces. Whisk the heavy cream, egg and lemon juice in a small bowl. Pulsing constantly, drizzle the cream mixture into the flour mixture; pulse until the flour is moistened and clumps form. Transfer to a medium bowl and knead 3 or 4 times to bring the dough together.
Scoop 6 balls of dough (about 1/2 cup each) onto the prepared baking sheet using a large ice cream scoop or a measuring cup, spacing the dough 2 to 3 inches apart. Refrigerate until firm, about 30 minutes.
Preheat the oven to 400 degrees F. Lightly brush each ball of dough with heavy cream and sprinkle with sanding sugar. Bake until golden and a toothpick inserted into the centers comes out clean, 20 to 25 minutes. Let cool 10 minutes on the baking sheet, then transfer to a rack to cool completely.
Meanwhile, make the filling: Toss the pineapple with 5 tablespoons granulated sugar, the orange zest and lime zest; cover and refrigerate at least 1 hour or up to 6 hours.
Beat the heavy cream with the remaining 2 tablespoons granulated sugar and the allspice in a medium bowl with a mixer on medium-high speed until medium peaks form. Refrigerate until ready to use.
Split each shortcake and fill with the pineapple and whipped cream.