Prepare the wings: Preheat the oven to 350°F Season the wings with salt and pepper and arrange on a baking sheet in a single layer. Cook until just brown and crisp, about 45 minutes.
Make the sauce: Combine the lime zest and juice, tequila, agave syrup, cumin, adobo sauce, 1/2 teaspoon salt and 1/2 tablespoon pepper in a bowl. Pour over the warm wings and let marinate at least 30 minutes.
Preheat grill to high. Grill the wings until marked, 10 to 15 minutes, turning as needed. Transfer the marinade to a saucepan and cook until slightly thick, about 8 minutes (you can do this on the grill as well). Drizzle the wings with the sauce.