Prepare a medium-high gas or charcoal grill fire.
Finely grate 1 tsp. of zest from the orange and then squeeze 1/3 cup juice. In a small bowl, whisk the juice and zest with 1/4 cup of the oil, 1 tsp. of the thyme, the vinegar, 1/2 tsp. salt, and 1/4 tsp. pepper.
Using a sharp pairing knife, cut open the calamari bodies lengthwise and lightly score both sides in a cross-hatch pattern. Put them in a medium bowl with the shrimp and red pepper and toss with the remaining 2 Tbs. oil, 1 tsp. thyme, 1/2 tsp. salt, and 1/4 tsp. pepper. Thread the shrimp on 3 or 4 metal skewers.
Grill the shrimp and peppers (skin side up), covered, until they have good grill marks, 2 to 3 minutes. Flip both and continue to grill until the shrimp are just firm and opaque, about 2 minutes more. Move the shrimp to a clean plate and let the peppers continue to cook until they're soft and the skin is charred, about 5 minutes more. Meanwhile, grill the calamari until barely cooked through, about 1 minute per side. When the calamari and peppers are done, move them to the plate with the shrimp.
Cut the calamari into quarters lengthwise and remove the shrimp from the skewers. Peel and thinly slice the red peppers. In a large bowl, toss the fennel and arugula with half of the vinaigrette. Season to taste with salt and pepper. Distribute the greens on 4 plates and top with the shrimp, calamari, and red peppers. Drizzle with some of the remaining vinaigrette and serve.