In a small bowl, combine the saffron threads with 2 tablespoons of warm seafood stock. Allow it to steep while you prepare the other ingredients.
Heat olive oil in a large skillet or paella pan over medium heat. Add the chopped onion and diced bell pepper, cooking for about 5 minutes until soft.
Stir in the minced garlic and smoked paprika, cooking for an additional minute until fragrant.
Add the Arborio rice and stir well to coat the grains with oil and spices. Cook for another 2 minutes.
Pour in the seafood stock and the saffron mixture. Bring to a boil, then reduce the heat to low. Season with salt and pepper. Allow it to simmer for about 15 minutes without stirring.
After 15 minutes, add the cherry tomatoes, peas, shrimp, and mussels to the pan. Nestle them into the rice mixture, cover the pan, and cook for another 10 minutes until the mussels open and the shrimp are cooked through.
Once cooked, remove the pan from heat and let it rest for 5 minutes, covered. This will allow the flavors to meld.
Garnish with chopped parsley and serve with lemon wedges on the side.