Well, I can't help much with the flambe part. I don't think flambe is much more than baloney intended to add another zero to the meal price. At any rate, I doubt much case could be made that flambe has any beneficial effect on the flavor of a shrimp dish. (Flambe fans may differ and will likely contribute.)
But shrimp, orange and pepper are pretty natural companions. I think mandarin oranges are so sweet that they need some sour component for balance. So, I'm thinking a marinade with orange, pepper, rice vinegar and soy sauce (I feel like the combination or the astringent vinegar and the umami of soy sauce would achieve the balance and make it more interesting than just sweet shrimp with pepper.
Now, it's still just shrimp and whatever you serve it with, usually rice, so I think I'd use some more orange juice and zest for a reduction to drizzle before serving. Trick out the presentation a bit with thin orange slice halves and a touch of green, like chive.
If you're into modernist, unlikely, if you're just learning, a sweet and sour orange espuma might play, also.
Don't be scared of the first one. You can't go too wrong with any part. Taste the marinade as you go and shoot for heavy flavor, since it's a marinade. And the reduction will be powerfully orange with mandarin juice and zest alone. Consider a white wine in the reduction, if it seems to strongly orange. The only real mistake would be to overcook the shrimp, which is the common evil done to shrimp, or to marinate it more than 30 minutes, which is about the most shrimp needs or can stand.
(Umm. Might be a good dish with lemon basil pasta rather than rice.)
((If I just had to flambe something like this, I think I'd use tequila. That's not really in the true spirit of flambe as a cooking method, but if I wanted to burn something, I'd at least be getting the flavor.))