Step 1

Preheat oven to 400°F. Heat 1/4 cup oil in a 15-inch carbon steel paella pan over medium-high. Add zucchini and eggplant. Sprinkle with 1 1/2 teaspoons salt. Cook, stirring occasionally, until lightly browned and just starting to soften, 5 to 6 minutes. Transfer vegetables to a plate; set aside.

Step 2

While zucchini mixture is cooking, microwave 2 tablespoons water in a small microwavable bowl on high until hot, about 30 seconds. Crumble saffron threads into hot water; let stand until ready to use, about 10 minutes.

Step 3

Reduce heat to medium-low, and add remaining 1 tablespoon oil to pan. Add onion and 1/2 teaspoon salt. Cook, stirring often, until onion is softened and lightly browned, about 5 minutes. Stir in tomato. Cook, stirring often, until tomato breaks down and begins to caramelize, 3 to 4 minutes.

Step 4

Stir in piquillo peppers, pimentón, saffron mixture, and remaining 3 teaspoons salt until well combined. Add rice, and cook, stirring constantly, until well coated and very lightly toasted, about 2 minutes. Stir in zucchini mixture, wine, parsley, and remaining 3 cups water until combined. Spread mixture in an even layer. Transfer pan to preheated oven. Bake until liquid is absorbed, rice is tender, and top is lightly browned, 34 to 38 minutes.

Step 5

Return pan to stovetop over medium-low. Cook, occasionally rotating pan over burner for even browning, until rice smells faintly nutty and you hear a constant crackling sound, 6 to 8 minutes. Remove from heat, and let stand 15 minutes. Garnish with parsley, and serve with lemon wedges.