In a blender, place the lemons and orange cubes. Blend for 1 to 2 minutes, and then add the shallot. Pulse and then blend until as smooth as possible. Strain through a sieve, using a spoon to push through. Discard the pulp. Season the strained juice with salt and pepper. Whisk the strained juice while adding olive oil in a thin, steady stream. The vinaigrette will be thick like a mayonnaise.
Taste for seasoning. Cover and refrigerate for up to 3 days. If the vinaigrette separates, return it to the blender and blend until smooth again.
Yield: about 3 cups