What entity should entity_id be joined on?
The customer addresses are linked to the user, see https://drupal.stackexchange.com/a/121356/2322 for more details on this, so you've got an order that references a customer profile and this references a user.

It doesn't show this part, but find a more complete description about the commerce entities in this documentation page: http://www.drupalcommerce.org/user-guide/products



In any case, I'd definitely use Entity Field Query for this, it will save you from digging in the database and it will give you a more consistent way to access your data.