Rinse fish fillets and pat dry with paper towels. Cut fish into 1-inch cubes. Set aside. Thaw shrimp, if frozen. Peel and devein shrimp, leaving the tails intact. Rinse shrimp; pat dry. Set aside.
Cut off and discard upper stalks of fennel bulbs, reserving some of the leafy fronds. Snip 2 tablespoons of the fronds for use in the marinade. Remove any wilted outer layers from bulbs; cut off a thin slice from base of each bulb. Wash and cut each bulb lengthwise into six wedges. Cook wedges, covered, in a small amount of boiling water about 5 minutes or until nearly tender; drain.
Place fish cubes, shrimp, and fennel wedges in a self-sealing plastic bag set in a deep bowl. For marinade, stir together snipped fennel fronds, olive oil, lemon juice, garlic, oregano, and salt. Pour over seafood and fennel wedges. Close bag. Marinate in the refrigerator for 2 hours, turning occasionally.
Drain fish cubes, shrimp, and fennel wedges, discarding marinade. Thread fish cubes, shrimp, and fennel wedges on skewers, alternating varieties. (If desired, transport in a covered shallow container in an insulated cooler with ice packs. Grill within 1 hour.)
Place on a greased rack of a grill directly over medium-hot coals; grill, uncovered, for 8 to 12 minutes, turning often, until fish flakes when tested with a fork and shrimp turn opaque. Makes 6 servings.