Whisk together 1/2 cup soy sauce, chopped cilantro, lemon zest, 2 tablespoons ginger, and 1 tablespoon sesame oil.
Wash and dry shrimp, leaving tails on. Add to soy mixture and marinate covered, 15 to 20 minutes at room temperature. Drain shrimp in colander, spread out on paper towels, and pat dry.
Pour oil into a deep, heavy pot to a depth of 3 inches and heat to 375 degrees. Meanwhile, spread out wonton wrappers. Working with one wrapper at a time, put several cilantro leaves and stems along wrapper edge nearest you. Top them with a shrimp, arranging shrimp lengthwise so that the tail extends beyond wrapper. Fold the wrapper edge opposite the tail over shrimp. Brush far edge of wrapper with water and starting with the near edge, roll wrapper loosely around the shrimp, forming a package. Press seam firmly to seal.
Preheat oven to 200 degrees and put a shallow rack in a baking pan. When oil reaches 375 degrees, fry wontons in several batches so as not to crowd them, flipping midway through cooking, until medium golden brown, 1 1/2 to 2 minutes. Lift shrimp out with tongs, draining excess oil, and transfer to baking pan; keep warm in oven.
In a small bowl, whisk together 1/2 cup soy sauce, 1 tablespoon sesame oil, the orange and lemon juices, marmalade, green onion, and 2 teaspoons ginger. Serve wontons hot, with dipping sauce on the side.