Finely shred peel from one of the oranges (should have about 1 tablespoon); set peel aside. Cut one orange and one grapefruit in half and squeeze 3 tablespoons juice from each; set juice aside. Cut the remaining orange and grapefruit into wedges (do not peel); set aside.
In a medium bowl, whisk together the oil, tarragon, finely shredded orange peel, and juices. Cut any large scallops in half. Add the scallops to the juice mixture, stirring to coat. Cover and let stand 10 minutes; drain, reserving maridade.
Preheat an indoor grill on high setting. Holding 2-1/2-inch metal or soaked* wooden skewers together, thread scallops, orange wedges, and grapefruit wedges alternately onto skewers. Repeat, using 6 more skewers and remaining scallops and fruit wedges.
If using a covered grill, close lid. Grill until scallops are opaque, brushing once with reserved marinade. (For a covered grill, allow 4 to 7 minutes. For an uncovered grill, allow 8 to 10 minutes, turning once.)
if using wooden skewers, soak on a shallow dish in enough water to cover for 1 hour.