Place the chicken wings in a resealable plastic bag. In a small bowl, whisk together the tequila, lime zest and juice, orange zest and juice, agave, crushed peppers and 1/2 teaspoon salt. Pour over the wings and seal the bag. Toss the wings in the marinade to coat. Place in the refrigerator and allow to marinate for 2 hours.
Preheat the oven to 450 degrees F.
Spray a baking sheet with nonstick cooking spray. Lay the wings out on the tray so they do not touch each other. Bake, flipping the wings halfway through, until cooked through and beginning to brown, about 25 minutes.
Meanwhile place the marinade in a small saucepan over medium-high heat and simmer until reduced to 1/2 cup, 8 to 10 minutes.
Heat a grill pan over medium-high heat. Grill the wings, turning often and brushing occasionally with the reduced liquid to coat, until golden and crispy, about 4 minutes.
You can substitute 1/8 teaspoon smoked paprika picante for the pequin chiles.