Grate the outer layer of peel from the orange and the lemon; juice half the lemon, and place all marinade ingredients in a food processor and blend until smooth.
Butterfly the game hens: cut out the backbone with sharp kitchen shears, turn the hen over (breast up) and bend the breast backward where it attaches to the breastbone; place your thumbs on either side of the breastbone and press down while pulling up on the outer sides of the breast with your fingers (I find this difficult--I just take the heels of my hands and smash it).
Place hens in a plastic bag with the marinade, force out excess air, seal tight and leave in the refrigerator overnight.
Set up grill for indirect cooking. Remove hens from marinade and grill, covered, for about 30 minutes or until breast meat registers 165-170F on an instant-read thermometer (mine took about 45 minutes).