Bring shrimp shells, corncobs, onion, orange zest, bay leaf, peppercorns, water, and wine to a simmer in a large pot. Cook for 15 minutes. Strain through a fine sieve; discard solids. Return liquid to pot, and bring to a boil. Add shrimp and corn kernels, and cook until shrimp are opaque, 2 to 3 minutes. Strain, reserving 1 tablespoon cooking liquid. Refrigerate until chilled, up to 2 hours.
Whisk together reserved poaching liquid, oil, and vinegar in a large bowl. Season with salt and pepper. Juice 1 orange half into bowl. Add shrimp and corn, and toss to coat. Refrigerate until chilled, 10 to 15 minutes.
Arrange lettuce leaves on each of 4 plates. Top with a scoop of shrimp-corn mixture. Top with avocado and mint, and drizzle with juices from bowl. Juice remaining orange half over tops, and season with salt.