Using a sharp knife, peel the orange, removing the bitter white pith. Cut in between the membranes to release the sections. Cut the sections into 1/2-inch pieces and transfer to a bowl. Add the capers, lemon zest, lemon juice and 1 tablespoon of the olive oil.
In a large skillet, heat 2 tablespoons of the olive oil. Add the shrimp, season with salt and pepper and cook over moderate heat, turning once, until pink and curled, about 2 1/2 minutes. Using a slotted spoon, transfer the shrimp to a large bowl.
Add 1 tablespoon of the olive oil to the skillet. Add the garlic and anchovy and cook for 30 seconds. Add the scallions and wine; cook over moderately high heat until reduced by half, 2 minutes. Add the orange mixture and cook, stirring, for 1 minute.
Return the shrimp and any accumulated juices to the skillet. Add the remaining 2 tablespoons of olive oil and stir until the shrimp are warmed through. Remove from the heat. Stir in the basil and chives, season with salt and pepper and serve.
Sautéed shrimp in a bright citrus-herb pan sauce pairs beautifully with the fresh acidity in a white wine like Torrontés.