In a medium bowl, whisk together the olive oil, orange juice, lemon juice, garlic, onion, 2 teaspoons of the parsley, and pepper. Pour the mixture into a large skillet set over medium heat. Pour the mixture into a large skillet set over medium heat. Bring to a simmer and cook until reduced by half, 5 to 8 minutes. Add the shrimp, cover, and cook until they turn pink, about 5 minutes. Top with the remaining parsley.

Serve with the orange and lemon wedges on the side.