Prepare the grill for direct cooking over medium heat (350° to 450°F).
Preheat the grill pan over direct medium heat for about 10 minutes. While the pan preheats, prepare the vegetables. Cut off the thick stalks above the fennel bulbs and save for another use. Cut each fennel bulb into quarters and then remove the thick triangular-shaped core. Slice the fennel vertically into ¼-inch-thick slivers. Place the fennel, lemon halves, peppers, and shallots in a medium bowl, add ¼ cup oil, and toss to coat the vegetables evenly. Place the vegetables on the grill pan and grill over direct medium heat, with the lid closed as much as possible, until the vegetables are tender, about 10 minutes, turning as needed.
Place the vegetables in a large bowl and cover the bowl with aluminum foil. Let them steam for 10 minutes. Remove and discard any charred skin from the shallots. Coarsely chop the shallots along with the red peppers. In a blender combine the fennel, peppers, shallots, and the juice of one grilled lemon half. Puree until smooth. Then add the clam juice and vegetable broth and puree again (the blender will be very full). Pour the zuppa through a strainer into a medium saucepan and discard any bits left in the strainer. Season with the paprika, red pepper flakes, and saffron. Keep warm over low heat. Add additional grilled lemon juice, salt, and pepper.
Increase the temperature of the grill to high heat (450° to 550°F). Remove the small, tough side muscle that might be left on each scallop. Lightly coat the shellfish and fish fillets with oil and season with salt and pepper. Brush the cooking grates clean. Grill over direct high heat, with the lid closed as much as possible, until the shrimp is lightly charred on the outside and just turning opaque in the center, the scallops are slightly firm on the surface and opaque in the center, and the fish fillets are just beginning to separate into layers and the color is opaque at the center, turning once. The shrimp will take 3 to 5 minutes, the scallops will take 4 to 6 minutes, and the fillets will take 6 to 8 minutes.
Evenly divide the shellfish and fish among individual bowls. Ladle ½ cup of the zuppa into each bowl. Garnish with parsley and serve right away.
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