* Blood oranges are available in mid-winter. Fresh blood orange juice is sold seasonally and frozen concentrate is available year round at gourmet stores.
** Basil oil can be purchased or made by steeping 1 bunch of basil in 2 cups of extra-virgin olive oil until the oil is slightly colored and fragrant.
To make the sauce, combine the blood orange juice, shallots , tarragon, rosemary and sugar and bring to a simmer over medium heat. Simmer the mixture until the flavors blend , about 10 minutes then add the cream. Simmer for another 1 or 2 minutes, then remove the pot from the heat and steep for 15 minutes. Strain the sauce through a fine sieve and set aside until shortly before serving.
To begin the zucchini rings: Cut each zucchini into 4 (1-inch thick) cylinders. Dice the remaining zucchini and set aside for garnish. Cut out the center of each zucchini cylinder, creating a hole in each ring about 1 1/2 inches across. Reserve the centers to make the custard below. Bring a large pot of salted water to a boil. Blanch the zucchini rings until they are just tender, then drain and refresh in ice water.
Preheat the oven to 325 degrees F.
To make the custard: Mash the reserved zucchini centers. In a small bowl, whisk the egg yolks with the cream. Add the mashed zucchini, orange zest , rosemary and garlic. Divide the mixture between 4 ramekins then bake in a water bath until the custard is just set, about 15 minutes. Remove the custards from the oven and keep warm. Reduce the oven temperature to 200 degrees F.
To assemble the zucchini and shrimp rings: Fit each shelled shrimp into a blanched zucchini ring by curling the shrimp. Skewer the remaining shrimp with toothpicks (so they will lie flat during cooking).
To finish the sauce: Bring the strained sauce to a simmer over medium heat. Reduce the heat to low. Gradually incorporate the butter, emulsifying it into the sauce with a hand held mixer or whisk. Adjust the seasoning with salt and pepper and reserve over very low heat.
To cook the shrimp and garnish : Heat several tablespoons of olive oil in 2 large skillets over medium heat. Working in batches if necessary, cook the diced zucchini in one pan and the sliced oranges in the other. Season the zucchini with salt and pepper and cook until golden and tender; keep warm in a low oven. Cook the orange slices just until firm, season with pepper then keep them warm in the oven as well.
Wipe out the skillets. Add olive oil to each and heat over medium. Season the stuffed zucchini and the skewered shrimp liberally with salt and pepper. Working in batches, cook the zucchini and shrimp rings in 1 pan and the skewered shrimp in the other, in both cases cooking until the shrimp is firm and lightly browned.
To plate the dish: Unmold the custards onto 4 large warm plates (run a paring knife around the outer edges of the molds first to prevent sticking). Arrange zucchini and shrimp ring around each custard. Remove the toothpicks from the shrimp and place 4 shrimp on each plate. Arrange a slice of blood orange and some diced zucchini on each plate. Drizzle the plates with blood orange sauce and basil oil. Garnish with fresh rosemary sprigs and serve.
Cook's Note: Use banana shrimp for this recipe when they are available.