Step 1
Cook and stir reserved shrimp shells and 2 teaspoons olive oil in a saucepan over medium heat until shells are pink and fragrant 1 to 2 minutes. Stir saffron into shells; add chicken broth bring to a simmer and cook until broth is a rusty brown and fragrant about 20 minutes.
Step 2
Strain saffron broth through a fine-mesh sieve; measure out 2 cups of broth pour into a small saucepan and place over low heat to keep broth hot.
Step 3
Preheat oven to 425 degrees F (220 degrees C).
Step 4
Heat 1 tablespoon olive oil in a large oven-proof skillet over medium heat. Cook chorizo slices in hot oil until browned about 2 minutes per side. Add onion to sausage; cook and stir until soft and slightly translucent about 3 minutes. Reduce heat to medium-low.
Step 5
Stir garlic into chorizo mixture; cook and stir until fragrant about 1 minute. Add rice to skillet and stir to coat rice completely in oil; stir in peas.
Step 6
Pat rice mixture evenly into the bottom of the skillet. Arrange shrimp in a single layer over the top of the rice. Lay pepper strips around and in between shrimp; season with salt paprika and cayenne pepper.
Step 7
Increase heat to high. When rice begins to sizzle in the skillet pour reserved 2 cups hot saffron broth over the shrimp; gently shake the skillet to distribute liquid.
Step 8
Bake rice mixture in the preheated oven until rice is almost tender and still a bit wet about 20 minutes.
Step 9
Place skillet over medium-high and cook until rice is tender liquid is absorbed and rice caramelizes and crusts slightly on the bottom of the skillet 3 to 5 minutes.