Preheat your oven to 375°F (190°C).
In a small bowl, combine the saffron threads with 1/4 cup warm water and let it steep.
Season the chicken thighs with salt and pepper. In a large oven-safe paella pan or skillet, heat olive oil over medium-high heat. Sear the chicken until golden brown on both sides. Remove the chicken from the pan and set it aside.
In the same pan, add chopped onion, sliced bell pepper, and minced garlic. Sauté until the vegetables are softened.
Add rice and tomatoes, stir in and cook for a few minutes allowing the rice to absorb the flavors. Add smoked paprika and season with salt and pepper. Mix well.
Pour in the chicken broth and the saffron-infused water. Stir to combine. Season with salt and pepper to taste. Bring the mixture to a simmer.
Nestle the seared chicken thighs into the rice mixture. Place the shrimp and mussels evenly around the pan. Sprinkle peas on top.
Transfer the paella pan to the preheated oven. Bake for 20-25 minutes or until the rice is cooked and the chicken reaches an internal temperature of 165°F (74°C).
Remove the paella from the oven. Garnish with chopped parsley and serve with lemon wedges on the side.