If making your own stock, place all the ingredients in a pot. Cover and simmer gently for 45 minutes, strain, and set aside. Alternatively if not making the stock, just use a vegetable boullion cube and dissolve in 2 cups of water instead.
Heat 2 tsp oil in paella pan or another thin bottomed pan. Saute onion for 5 minutes until softened.
Add garlic and saute until softened and frangrant, stirring frequently.
Add chopped tomato, salt, smoked paprika, wine, and romano pepper.
Allow the tomato to break down and romano pepper to soften, approximately 10 minutes.
While the paella is simmering, grill zucchini, fennel wedges, and cherry tomatoes on a heated and lightly oiled grilling pan (or BBQ).
Mix the rice into the tomato and romano pepper mixture.
Add saffron (and water you dissolved it in), along with the 2 cups of stock and simmer on medium heat. Do not stir for 10 minutes, until most of the liquid has been absorbed by the rice. If the rice looks dry, top it with a bit more stock/water so that there is a thin layer of moisture on top of the rice.
Switch the heat off and cover the paella dish with a tight fitting lid (or foil) and allow the rice to rest for 10 - 15 minutes. It will finish cooking in its own steam
Top with a selection of grilled veggies, peas, olives, artichokes and chopped parsley. Top with pepper and lemon wedges if desired.