Heat the olive oil in a large soup pot over medium heat. Add the onion and fennel and cook, stirring occasionally, until the vegetables are golden, about 5 minutes. Add the garlic, pepper, and saffron and cook another minute. Stir in the vermouth and simmer until reduced by about half. Lightly crush the tomatoes through your fingers into the pot; stir in their juices, add the water, orange zest, bay leaf, cover, and simmer until the flavors come together, about 20 minutes.
Adjust the heat so that the broth simmers briskly. Stir in the clams, cover the pot, and cook until they just begin to open, 6 to 8 minutes. (To keep the clams from overcooking, transfer any fully opened ones to a bowl.) Add the scallops and shrimp and cook, uncovered, until they are just cooked through and opaque, 2 to 3 minutes more. Stir in the vinegar, parsley, and return any of the cooked clams along with their juices. Season with salt, if needed. Divide stew and shellfish among 4 warm bowls. Serve.
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