Place the oil, orange juice, lime juice, onion, jalapeño, brown sugar, garlic, ginger, black pepper, thyme, paprika, allspice, salt, nutmeg, cinnamon, and cayenne in a large resealable plastic bag and shake to combine.
Add the chicken wings, squeeze out as much air as possible, and seal the bag. Massage the marinade into the wings and refrigerate for at least 2 hours and up to overnight.
Preheat the grill to medium-high heat, about 400°F (200°C).
Place the chicken wings on the grill and discard the marinade. Grill, turning every 10 minutes, until the chicken skin is crispy and golden and the wings have an internal temperature of 165°F (74°C), about 40 minutes. Serve.