Cook and stir reserved shrimp shells with 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.

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.

Preheat oven to 425 degrees F (220 degrees C).

Heat 1 tablespoon olive oil in an oven-proof skillet over medium heat. Cook chorizo slices until browned, about 2 minutes per side.

Add diced onion to skillet with sausage; cook and stir until soft and translucent, about 3 minutes.

Stir garlic into the mixture; cook until fragrant, about 1 minute. Add rice to skillet and stir to coat in oil; stir in peas.

Pat mixture evenly into skillet. Arrange shrimp in a single layer over the rice, and lay pepper strips around shrimp. Season with salt, paprika, and cayenne.

Increase heat to high. When rice begins to sizzle, pour hot saffron broth over the shrimp; shake skillet to distribute liquid.

Bake in the preheated oven until rice is almost tender, about 20 minutes.