Heat olive oil over medium heat until shimmering. Add onion, leek, fennel, celery, carrot, garlic, fennel seeds, saffron, orange zest, cayenne pepper, and thyme sprigs. Cook, stirring, until vegetables have softened, about 10 minutes; lower heat if necessary to prevent browning.
Stir in tomato paste and cook, stirring, for 2 minutes. Add diced tomatoes and cook, stirring, for 3 minutes longer.
Stir in tomato paste and cook, stirring, for 2 minutes. Add diced tomatoes and cook, stirring, for 3 minutes longer.
Add white wine, stirring to scrape up any bits from the bottom of the pot. Bring to a boil over medium-high heat, then boil until raw alcohol smell has cooked off, about 3 minutes.
Add enough boiling stock to fully cover all ingredients in the pot. Add parsley and bay leaf, increase heat to high, and bring broth to a vigorous boil. Allow to boil rapidly for 5 minutes. Lower heat to a simmer and continue to cook for 45 minutes. Season with salt and pepper.
To Finish: Working in batches, transfer broth and all ingredients to a blender then blend until as smooth as possible. (This may take some time and will depend on your blender, but feel free to let it run for a minute or longer.) blended soup to a fine-mesh strainer set over a clean pot