Preheat the oven to 400 degrees F. Set a large sauté pan on the stovetop over medium heat. Add the olive oil, onions, garlic, bay leaf, lemon zest, salt, smoked paprika, saffron, and crushed red pepper. Sauté the onions 3-4 minutes until soft, then stir in the rice and water.
Cover the sauté pan with a tight-fitting lid and bring the rice to a simmer. Simmer for about 15 minutes, until the water is absorbed and there are vent holes in the top of the rice.
Then remove the rice from the heat and stir in the raw shrimp, chopped chorizo, peas, and parsley.
Meanwhile, cut the bell peppers in half from the stem to the bottom. Remove the seeds and set the pepper halves on a baking sheet, cut-side-up. Spoon the paella into the peppers. Pack down, and spoon more on top in round mounds. Bake for 20 minutes, until the shrimp are cooked and the rice is crispy around the edges. Serve warm.