Preheat broiler to high. Place jalapeño on a foil-lined baking sheet. Broil the jalapeño until blackened on all sides (5 to 6 minutes). Cut jalapeño open lengthwise and place in a large bowl.
To the bowl with the jalapeño, add the sliced red onion and bay leaves.
In a small bowl, combine citrus juice, vinegar, salt, pepper and allspice, whisking to combine. Pour the pickling liquid over the sliced red onion, jalapeño and bay leaves, tossing to combine.
Let the mixture sit at room temperature for 6 hours, tossing the ingredients every 2 hours. If you like a crunchier pickle, you can reduce the time to 3 hours. Season to taste with additional salt. Transfer pickled onions to a jar, cover tightly, and store in the refrigerator.