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It sounds like your trees have citrus thrips. These can be a troublesome pest. This article can help:
http://www.ipm.ucdavis.edu/PMG/r107301711.html

When was the last time you fertilized the trees? They may need nutrients. If you have not been fertilizing, start doing so and, regardless, have the soil tested to see if you have any nutrient deficiencies that need to be corrected. Here is more information on fertilizing citrus trees: https://www.gardeningknowhow.com/edible/fruits/citrus/fertilizing-citrus-trees-best-practices-for-citrus-fertilizing.htm

The minimum really depends on the plant. The rule of thumb is to make the container at least 5 cm larger than the rootball of the plant. Keep in mind that if you would like the plant to stay in the pot longer without having to be transplanted, you will want to make the container larger.

It does sound like a watering issue. Shade will help keep the soil moist longer, but in your area, I would definitely be watering them 2X a day once the heat gets above 80F and 3X a day once the heat is over 100F. You may want to repot the trees in larger pots as well to help keep them watered well, or add a dish to the bottom to act as a water reservoir.

Just in case, I would also add some bone meal to add phosphorus to the soil. Sometimes fruit trees will drop their fruit if the phosphorus is too low.

I would wait at least a year before pruning them. This will allow them to focus on establishing their roots system rather than healing wounds. Fertilizer is a good idea as that will help them get the energy they need to establish. In the meantime, you can keep the plants fertilized but start lightly, just to be safe--maybe half strength. Also, be sure to keep up with watering. This is very important to a tree establishing well.

When they are established, this article will help with pruning:
https://www.gardeningknowhow.com/garden-how-to/projects/espalier-instructions.htm

Typically this problem occurs due to inconsistent watering. It can cause confusion because a citrus tree will hold onto its leaves while not getting water and will shed them after water returns. Continue to make sure the tree is getting enough water. It may need additional water now that it is blooming.

Here is more information:
https://www.gardeningknowhow.com/edible/fruits/citrus/tip-on-water-requirements-for-citrus-trees.htm
https://www.gardeningknowhow.com/edible/fruits/citrus/leaves-falling-off-citrus-tree.htm