Preheat the broiler. In a bowl, stir together the chopped orange, chile, scallions, cilantro, olive oil, and salt and pepper.
Wrap each shrimp in a section of bacon and secure with a toothpick. Put the shrimp on a baking sheet and broil, turning once, until the bacon is crisp and the shrimp is cooked through, 2 to 3 minutes each side. To serve, lay a lettuce leaf on the cutting board. Remove the toothpick from 1 of the cooked shrimp and center the shrimp on the lettuce leaf. Spoon a little of the citrus sauce on top, wrap it all up in the lettuce like a burrito, and put it seam-side down on a plate. Keep going in the same way to wrap all of the shrimp. Serve hot.