Heat oil in heavy medium skillet over medium heat. Add onion; sauté until golden brown, about 10 minutes. Add garlic, cumin and oregano; stir 1 minute. Transfer mixture to blender. Add 1 cup water, vinegar and chipotles to blender; purée until smooth. Transfer half of puree to medium bowl; cool. Add shrimp to bowl; toss to coat. Cover; chill 2 hours.
Pour remaining purée into heavy medium saucepan. Add orange juice and brown sugar. Bring to boil. Reduce heat; simmer until glaze is slightly thickened and reduced to 1/2 cup, about 10 minutes. Remove from heat. Cool.
Prepare barbecue (medium-high heat). Remove shrimp from marinade; pat dry with paper towels. Brush shrimp with some orange juice glaze. Grill shrimp until opaque in center, brushing occasionally with more glaze, about 2 minutes per side. Transfer to platter.
