Pour enough vegetable oil in a large heavy skillet to come 1/2 inch up the sides of the pan and heat to 350 degrees F.
Add the chiles and fry, turning frequently, until golden brown on all sides, about 8 minutes. Transfer to paper towels to drain and set aside.
In a separate pan, heat the olive oil. Add the chopped onions and saute until golden brown, about 8 minutes. Add the bell peppers and saute until soft, about 5 minutes. Add the shrimp and cook until pink and cooked through, about 8 minutes. Season the filling with salt and pepper.
Cut a lengthwise slit in each chile and carefully scoop out the seeds, leaving the stem intact. (For milder heat, carefully cut out the ribs.) Divide the shrimp filling among the chiles, then close, overlapping the sides of each opening slightly.
On a shallow serving platter, toss the cucumber, sliced onions, soy sauce and lime juice and spread out on the platter. Arrange the chiles, seam-side up, on top of the salad and serve.